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Almost sure stability of linear stochastic differential equations with jumps

文献类型：期刊论文

作者Li, CW; Dong, Z; Situ, R
刊名PROBABILITY THEORY AND RELATED FIELDS
出版日期2002-05-01
卷号123期号:1页码:121-155
关键词jump-diffusion invariant measure Lyapunov exponent Fredholm alternative exponential martingale large deviations
ISSN号0178-8051
DOI10.1007/s004400200198
英文摘要Under the nondegenerate condition as in the diffusion case, see [14, 21, 6], the linear stochastic jump-diffusion process projected on the unit sphere is a strong Feller process and has a unique invariant measure which is also ergodic using the relation between the transition probabilities of jump-diffusions and the corresponding diffusions due to [22]. The unique deterministic Lyapunov exponent can be represented by the Furstenberg-Khas'minskii formula as an integral over the sphere or the projective space with respect to the ergodic invariant measure so that the almost sure asymptotic stability of linear stochastic systems with jumps depends on its sign. The critical case of zero Lyapunov exponent is discussed and a large deviations result for asymptotically stable systems is further investigated. Several examples are treated for illustration.
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000176317300006
出版者SPRINGER-VERLAG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/17079]  
专题应用数学研究所
通讯作者Li, CW
作者单位1.City Univ Hong Kong, Dept Math, Kowloon, Hong Kong, Peoples R China
2.Acad Sinica, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China
3.Zhongshan Univ, Dept Math, Guangzhou 510275, Peoples R China
推荐引用方式
GB/T 7714		 Li, CW,Dong, Z,Situ, R. Almost sure stability of linear stochastic differential equations with jumps[J]. PROBABILITY THEORY AND RELATED FIELDS,2002,123(1):121-155.
APA Li, CW,Dong, Z,&Situ, R.(2002).Almost sure stability of linear stochastic differential equations with jumps.PROBABILITY THEORY AND RELATED FIELDS,123(1),121-155.
MLA Li, CW,et al."Almost sure stability of linear stochastic differential equations with jumps".PROBABILITY THEORY AND RELATED FIELDS 123.1(2002):121-155.

入库方式： OAI收割

来源：数学与系统科学研究院

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