Lyapunov exponents of nonlinear stochastic differential equations with jumps
Dynamical systems and their relations with probability theory and stochastic processes (37A50) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic stability in control theory (93D20)
A jump-diffusion equation \[ dX_t=a(X_t)dt+b(X_t)dW_t+\int_Zc(X_{t-},z)N(dt,dz), \quad X_0=x\in{\mathbb R}^d, \] is considered, where the \(m\)-dimensional Wiener process \(W\) and the Poisson counting measure \(N\) are independent. Growth conditions on the coefficients are given under which the solution of this equation satisfies \[ E| X_t(x)| ^p\leq K_p+| x| ^{\alpha_p}e^{-r_pt} \] for \(p\) not too large. Furthermore, there exists an invariant probability measure \(\mu\) and it can be expressed in terms of the invariant measure of the corresponding diffusion (i.e., with \(c=0\)) and the transition function. Under slightly stronger assumptions the limit \(\lim_{t\to\infty}\ln X_t(x)/t\) is calculated. For the entire collection see [Zbl 1024.00031].
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