LYAPUNOV FUNCTIONS AND ALMOST SURE EXPONENTIAL STABILITY OF STOCHASTIC DIFFERENTIAL-EQUATIONS BASED ON SEMIMARTINGALES WITH SPATIAL PARAMETERS

被引：6

作者：

MAO, XR

机构：

[1] Univ of Warwick, Coventry

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1990年 / 28卷 / 06期

关键词：

D O I：

10.1137/0328078

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The objective of this paper is to use the Lyapunov function to study the almost sure exponential stability of the stochastic differential equation Φt = x + ∫0t F(Φs, ds), where F(x, t) is a continuous C-semimartingale with spatial parameter x. This equation includes many important stochastic systems, for example, the classical Ito equation. More importantly, the result can be employed to study the bound of the Lyapunov exponent of stochastic flows.

引用

页码：1481 / 1490

页数：10

共 12 条

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