Stability properties of systems of linear stochastic differential equations with random coefficients
From MaRDI portal
Abstract: This work is concerned with the stability properties of linear stochastic differential equations with random (drift and diffusion) coefficient matrices, and the stability of a corresponding random transition matrix (or exponential semigroup). We consider a class of random matrix drift coefficients that involves random perturbations of an exponentially stable flow of deterministic (time-varying) drift matrices. In contrast with more conventional studies, our analysis is not based on the existence of Lyapunov functions, and it does not rely on any ergodic properties. These approaches are often difficult to apply in practice when the drift/diffusion coefficients are random. We present rather weak and easily checked perturbation-type conditions for the asymptotic stability of time-varying and random linear stochastic differential equations. We provide new log-Lyapunov estimates and exponential contraction inequalities on any time horizon as soon as the fluctuation parameter is sufficiently small. These seem to be the first results of this type for this class of linear stochastic differential equations with random coefficient matrices.
Recommendations
Cites work
- A contribution to matrix quadratic equations
- A perturbation analysis of stochastic matrix Riccati diffusions
- A survey of stability of stochastic systems
- An explicit Floquet-type representation of Riccati aperiodic exponential semigroups
- Consensus and Cooperation in Networked Multi-Agent Systems
- Criterion for the convergence of the solution of the Riccati differential equation
- Dichotomies in stability theory
- Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
- Ergodicity for Infinite Dimensional Systems
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- scientific article; zbMATH DE number 1201579 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 3435336 (Why is no real title available?)
- scientific article; zbMATH DE number 802915 (Why is no real title available?)
- scientific article; zbMATH DE number 919684 (Why is no real title available?)
- scientific article; zbMATH DE number 3343633 (Why is no real title available?)
- scientific article; zbMATH DE number 3375319 (Why is no real title available?)
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Linear Quadratic Optimal Stochastic Control with Random Coefficients
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- On one-dimensional Riccati diffusions
- On the exponential solution of differential equations for a linear operator
- On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
- On the stability of Kalman-Bucy diffusion processes
- On the Stability of Linear Stochastic Differential Equations
- On the stability of slowly time-varying linear systems
- On the Stability of Some Linear Nonautonomous Random Systems
- On the stability of systems with random parameters
- Optimal Stabilization Policies for Deterministic and Stochastic Linear Economic Systems
- Perturbations and projections of Kalman-Bucy semigroups
- Products of Indecomposable, Aperiodic, Stochastic Matrices
- Random differential equations as models of ecosystems: Monte Carlo simulation approach
- Random differential equations in science and engineering
- Random integral equations with applications to life sciences and engineering
- Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
- Some Averaging and Stability Results for Random Differential Equations
- Stability of linear differential equations with random coefficients
- Stability of multiagent systems with time-dependent communication links
- Stability of Recursive Stochastic Tracking Algorithms
- Stability of some linear stochastic systems
- Stabilization of continuous-time jump linear systems
- Stochastic Equations in Infinite Dimensions
- Stochastic Hamilton–Jacobi–Bellman Equations
- Stochastic stability and control
- Uniform observability of hidden Markov models and filter stability for unstable signals
Cited in
(14)- Stability of Riccati's equation with random stationary coefficients
- A perturbation analysis of stochastic matrix Riccati diffusions
- A second order analysis of McKean-Vlasov semigroups
- On the stability of matrix-valued Riccati diffusions
- Stochastic stability of coupled linear systems: a survey of methods and results
- Stochastic stability of three-dimensional linear systems under parametric random action
- scientific article; zbMATH DE number 130744 (Why is no real title available?)
- scientific article; zbMATH DE number 4124725 (Why is no real title available?)
- Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models
- Multilevel ensemble Kalman-Bucy filters
- On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
- A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters
- On time uniform Wong-Zakai approximation theorems
- Gaussian entropic optimal transport: Schrödinger bridges and the Sinkhorn algorithm
This page was built for publication: Stability properties of systems of linear stochastic differential equations with random coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4628336)
