Lyapunov exponents of nilpotent Itô systems with random coefficients

Peter H. Baxendale and Levon Goukasian

Stochastic Processes and their Applications, 2001, vol. 95, issue 2, 219-233

Abstract: The paper considers the top Lyapunov exponent of a two-dimensional linear stochastic differential equation. The matrix coefficients are assumed to be functions of an independent recurrent Markov process, and the system is a small perturbation of a nilpotent system. The main result gives the asymptotic behavior of the top Lyapunov exponent as the perturbation parameter tends to zero. This generalizes a result of Pinsky and Wihstutz for the constant coefficient case.

Keywords: Stochastic; differential; equation; Nilpotent; system; Lyapunov; exponent; Stochastic; averaging; Exponential; ergodicity (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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