Orbital stability index for stochastic systems

DOI10.1080/07362990008809697MaRDI QIDQ4518328zbMATH OpenOpenAlexFDO

Authors Grigori N. Milstein

Publication date 20 November 2000

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990008809697

zbMATH Keywords

Lyapunov exponentmoment Lyapunov exponentstability indexstochastic stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

Review text

Suppose a stochastic differential equation has an invariant orbit, which is a closed smooth curve such that every solution starting on this curve remains on the curve. An ``orthogonal linearisation along the orbit of such a system is calculated explicitly. Almost sure and \(p\)th mean Lyapunov exponents, and the stability index (the second zero of the \(p\)th mean exponent) for the orthogonal linearisation are introduced, and their properties are stated. Then large deviations estimates for the convergence (or divergence, resp.) of solutions of the original nonlinear equation to the invariant orbit are derived, where the rate function's exponent is the stability index. This generalises results known for equilibrium points of stochastic differential equations. An additional problem arises here from the fact that nondegeneracy conditions need not be satisfied, e.g., if the invariant orbit is a periodic solution without diffusion. For systems on the plane explicit calculations of the Lyapunov exponents are given, and this is applied to obtain expansions of the exponents for planar systems with small noise.

Cites work

• A Formula Connecting Sample and Moment Stability of Linear Stochastic Systems
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Cited in

(6)

• Criterion for orbital stability of trajectories of dynamic systems
• THE ASYMPTOTIC BEHAVIOR OF SEMI-INVARIANTS FOR LINEAR STOCHASTIC SYSTEMS
• Orbital dynamics in a stochastic atmosphere
• scientific article; zbMATH DE number 1139632 (Why is no real title available?)
• MOMENT LYAPUNOV EXPONENT FOR CONSERVATIVE SYSTEMS WITH SMALL PERIODIC AND RANDOM PERTURBATIONS
• STABILITY OF GYROSCOPIC SYSTEMS UNDER SMALL RANDOM EXCITATIONS

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