On mean square stability of linear stochastic difference equations

MaRDI QIDQ5430630zbMATH OpenFDO

Authors V. Carkova, M. L. Swerdan

Publication date 16 December 2007

zbMATH Keywords

Markov dynamical systemmean square stabilitystochastic difference equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(11)

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• Almost sure convergence and asymptotic stability of systems of linear stochastic difference equations in ℝ^ddriven byL²-martingales
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• Mean square differentiability with respect to the coefficients of solutions of stochastic differential equations
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• Stochastic vector difference equations with stationary coefficients
• About stability of difference equations with square summable level of stochastic perturbations
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• On the dynamics and asymptotic behaviour of the mean square of scalar linear stochastic difference equations

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