On the Liapunov exponents of a linear system with Markov coefficients
Asymptotic properties of solutions to ordinary differential equations (34D05) Distribution theory (60E99) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Asymptotic distribution theory in statistics (62E20) Linear systems in control theory (93C05) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)
Let \(\xi_ t\) be a homogeneous strong ergodic Markov process on a measurable space \({\mathfrak U}\). Consider the controlled stochastic dynamical system \[ \dot x_ t=(A+\epsilon B(\xi_ t))X_ t \] where A, B(u), \(u\in U\), are given matrices and \(\epsilon\) is a small parameter. Under some conditions on the spectrum of the matrix A the author shows that for all small values of \(\epsilon\) the expectation \(EX_ t\) can be represented in the form \[ EX_ t=\exp(Kt)(C+O(t))EX_ 0 \] where K, C are constant matrices, det \(C\neq 0\), and the residual term satisfies O(t)\(\to 0\) as \(t\to \infty\). A similar result is also obtained for the second moment \(EX_ tX_ t^{^*}\).
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