Almost sure convergence of solutions to non-homogeneous stochastic difference equation

DOI10.1080/10236190600574093zbMATH Open1099.39002arXivmath/0508371OpenAlexW3102791174MaRDI QIDQ5478779FDOQ5478779

Authors: Gregory Berkolaiko, Alexandra Rodkina 

Publication date: 13 July 2006

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Abstract: We consider a non-homogeneous nonlinear stochastic difference equation X_{n+1} = X_n (1 + f(X_n)xi_{n+1}) + S_n, and its important special case X_{n+1} = X_n (1 + xi_{n+1}) + S_n, both with initial value X_0, non-random decaying free coefficient S_n and independent random variables xi_n. We establish results on as convergence of solutions X_n to zero. The necessary conditions we find tie together certain moments of the noise xi_n and the rate of decay of S_n. To ascertain sharpness of our conditions we discuss some situations when X_n diverges. We also establish a result concerning the rate of decay of X_n to zero.

Full work available at URL: https://arxiv.org/abs/math/0508371

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zbMATH Keywords

random variablealmost sure stabilitymartingale convergence theoremnonlinear stochastic difference equation

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Additive difference equations (39A10) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cited In (17)

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• Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise
• Global stabilization and destabilization by the state dependent noise with particular distributions
• On local stability for a nonlinear difference equation with a non-hyperbolic equilibrium and fading stochastic perturbations
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• On asymptotic behavior of solutions to linear discrete stochastic equation
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• On difference equations with asymptotically stable 2-cycles perturbed by a decaying noise
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• On local stability of stochastic delay nonlinear discrete systems with state-dependent noise
• Stability of equilibria of randomly perturbed maps

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