Lyapunov exponents of nilpotent Itô systems with random coefficients
The paper considers the top Lyapunov exponent of a two-dimensional linear stochastic differential equation. The matrix coefficients are assumed to be functions of an independent recurrent Markov process, and the system is a small perturbation of a nilpotent system. The main result gives the asymptotic behavior of the top Lyapunov exponent as the perturbation parameter tends to zero. This generalizes a result of Pinsky and Wihstutz for the constant coefficient case.
Year of publication: |
2001
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Authors: | Baxendale, Peter H. ; Goukasian, Levon |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 95.2001, 2, p. 219-233
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Publisher: |
Elsevier |
Keywords: | Stochastic differential equation Nilpotent system Lyapunov exponent Stochastic averaging Exponential ergodicity |
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