Estimate on the Pathwise Lyapunov Exponent of Linear Stochastic Differential Equations with Constant Coefficients

DOI10.1080/07362994.2010.503453zbMath1197.93160OpenAlexW1971931947MaRDI QIDQ4932830

Onno van Gaans, Joris Bierkens, Sjoerd M. Verduyn Lunel

Publication date: 7 October 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2010.503453

zbMATH Keywords

stabilitymatrix inequalitiesLyapunov exponentlinear stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Matrix equations and identities (15A24) Stochastic stability in control theory (93E15)

Related Items (2)

Pathwise stability of degenerate stochastic evolutions ⋮ Subgeometric hypocoercivity for piecewise-deterministic Markov process Monte Carlo methods

Cites Work

• Recurrence and invariant measures for degenerate diffusions
• Pathwise stability of degenerate stochastic evolutions
• One-Parameter Semigroups for Linear Evolution Equations
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