Exponential growth rate for a singular linear stochastic delay differential equation

DOI10.3934/DCDSB.2013.18.1683zbMATH Open1281.34127arXiv1201.2599OpenAlexW2964294037MaRDI QIDQ379007FDOQ379007

Authors: Michael Scheutzow 

Publication date: 12 November 2013

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Abstract: We establish the existence of a deterministic exponential growth rate for the norm (on an appropriate function space) of the solution of the linear scalar stochastic delay equation dX(t) = X(t-1) dW(t) which does not depend on the initial condition as long as it is not identically zero. Due to the singular nature of the equation this property does not follow from available results on stochastic delay differential equations. The key technique is to establish existence and uniqueness of an invariant measure of the projection of the solution onto the unit sphere in the chosen function space via asymptotic coupling and to prove a Furstenberg-Hasminskii-type formula (like in the finite dimensional case).

Full work available at URL: https://arxiv.org/abs/1201.2599

Recommendations

• EXPONENTIAL GROWTH RATES FOR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
• DECAY AND GROWTH RATES OF SOLUTIONS OF SCALAR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS WITH UNBOUNDED DELAY AND STATE DEPENDENT NOISE
• Unstable invariant distributions for a class of stochastic delay equations
• Lyapunov exponents of linear stochastic functional differential equations. II: Examples and case studies
• Robustness of exponential stability of stochastic differential delay equations

zbMATH Keywords

invariant measureexponential growth ratestochastic delay equationasymptotic couplingFürstenberg-Khasminskii formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Growth, boundedness, comparison of solutions to functional-differential equations (34K12)

Cited In (5)

• A dynamical theory for singular stochastic delay differential equations. I: Linear equations and a multiplicative ergodic theorem on fields of Banach spaces
• Approximation to stochastic variance reduced gradient Langevin dynamics by stochastic delay differential equations
• EXPONENTIAL GROWTH RATES FOR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
• Atomic operators, random dynamical systems and invariant measures
• Title not available (Why is that?)

This page was built for publication: Exponential growth rate for a singular linear stochastic delay differential equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q379007)