On the gap between deterministic and probabilistic Lyapunov exponents for continuous-time linear systems

DOI10.1214/23-EJP932zbMATH Open1517.60089arXiv2112.07005MaRDI QIDQ6164940FDOQ6164940

Authors: Yacine Chitour, Guilherme Mazanti, Pierre Monmarché, Mario Sigalotti 

Publication date: 4 July 2023

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: Consider a non-autonomous continuous-time linear system in which the time-dependent matrix determining the dynamics is piecewise constant and takes finitely many values $A_1,dotsc,A_N$. This paper studies the equality cases between the maximal Lyapunov exponent associated with the set of matrices $A_1,dotsc,A_N$, on the one hand, and the corresponding ones for piecewise deterministic Markov processes with modes $A_1,dotsc,A_N$, on the other hand. A fundamental step in this study consists in establishing a result of independent interest, namely, that any sequence of Markov processes associated with the matrices $A_1,dotsc,A_N$ converges, up to extracting a subsequence, to a Markov process associated with a suitable convex combination of those matrices.

Full work available at URL: https://arxiv.org/abs/2112.07005

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zbMATH Keywords

Lyapunov exponentscontinuous-time Markov processeslinear switched systemspiecewise deterministic Markov processesconvexified Markov processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Hybrid systems of ordinary differential equations (34A38) Characteristic and Lyapunov exponents of ordinary differential equations (34D08)

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Cited In (2)

• On the bound of the Lyapunov exponents for continuous systems
• On the gap between deterministic and probabilistic joint spectral radii for discrete-time linear systems

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