Peer-Reviewed Journal Details
Mandatory Fields
Appleby, JAD; Gleeson, JP; Rodkina, A
2009
Applicable Analysis
On asymptotic stability and instability with respect to a fading stochastic perturbation
Published
()
Optional Fields
almost sure asymptotic stability stochastic differential equation fading stochastic perturbations DIFFERENTIAL-EQUATIONS STABILIZATION DESTABILIZATION SYSTEMS NOISE
88
4
579
603
We develop necessary and sufficient conditions for the a.s. asymptotic stability of solutions of a scalar, non-linear stochastic equation with state-independent stochastic perturbations that fade in intensity. These conditions are formulated in terms of the intensity function: roughly speaking, we show that as long as the perturbations fade quicker than some identifiable critical rate, the stability of the underlying deterministic equation is unaffected. These results improve on those of Chan and Williams; for example, we remove the monotonicity requirement on the drift coefficient and relax it on the intensity of the stochastic perturbation. We also employ different analytic techniques.
0003-6811
10.1080/00036810902913847
Grant Details