Lyapounov exponent of linear stochastic systems with large diffusion term

E. Pardoux and V. Wihstutz

Stochastic Processes and their Applications, 1992, vol. 40, issue 2, 289-308

Abstract: We study the behaviour of the Lyapounov exponent of the solution of , as [sigma]-->[infinity]. We obtain the exact behaviour in two cases for arbitrary dimensions, and in most cases for the two dimensional equation.

Date: 1992
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