Almost sure polynomial asymptotic stability of stochastic difference equations
Contemporary Mathematics. Fundamental Directions, Proceedings of the Fourth International Conference on Differential and Functional-Differential Equations (Moscow, August 14–21, 2005). Part 3, Tome 17 (2006), pp. 110-128.

Voir la notice de l'article provenant de la source Math-Net.Ru

In this paper, we establish the almost sure asymptotic stability and decay results for solutions of an autonomous scalar difference equation with a nonhyperbolic equilibrium at the origin, which is perturbed by a random term with a fading state–independent intensity. In particular, we show that if the unbounded noise has tails which fade more quickly than polynomially, then the state–independent perturbation dies away at a sufficiently fast polynomial rate in time, and if the autonomous difference equation has a polynomial nonlinearity at the origin, then the almost sure polynomial rate of decay of solutions can be determined exactly.
@article{CMFD_2006_17_a7,
     author = {J. Appleby and D. Mackey and A. Rodkina},
     title = {Almost sure polynomial asymptotic stability of stochastic difference equations},
     journal = {Contemporary Mathematics. Fundamental Directions},
     pages = {110--128},
     publisher = {mathdoc},
     volume = {17},
     year = {2006},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/CMFD_2006_17_a7/}
}
TY  - JOUR
AU  - J. Appleby
AU  - D. Mackey
AU  - A. Rodkina
TI  - Almost sure polynomial asymptotic stability of stochastic difference equations
JO  - Contemporary Mathematics. Fundamental Directions
PY  - 2006
SP  - 110
EP  - 128
VL  - 17
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/CMFD_2006_17_a7/
LA  - ru
ID  - CMFD_2006_17_a7
ER  - 
%0 Journal Article
%A J. Appleby
%A D. Mackey
%A A. Rodkina
%T Almost sure polynomial asymptotic stability of stochastic difference equations
%J Contemporary Mathematics. Fundamental Directions
%D 2006
%P 110-128
%V 17
%I mathdoc
%U http://geodesic.mathdoc.fr/item/CMFD_2006_17_a7/
%G ru
%F CMFD_2006_17_a7
J. Appleby; D. Mackey; A. Rodkina. Almost sure polynomial asymptotic stability of stochastic difference equations. Contemporary Mathematics. Fundamental Directions, Proceedings of the Fourth International Conference on Differential and Functional-Differential Equations (Moscow, August 14–21, 2005). Part 3, Tome 17 (2006), pp. 110-128. http://geodesic.mathdoc.fr/item/CMFD_2006_17_a7/

[1] Appleby J. A. D., Mackey D., “Almost sure polynomial asymptotic stability of scalar stochastic differential equations with damped stochastic perturbations”, Proc. 7th Coll. QTDE, Electron. J. Qual. Theory Differ. Equ., 2004, 1–33, Paper No 2 | MR

[2] Appleby J. A. D., Rodkina A., “On the asymptotic stability of polynomial stochastic delay differential equations”, Funct. Differ. Equ., 12:1–2 (2005), 35–66 | MR | Zbl

[3] Appleby J. A. D., Mao X., Rodkina A., “On pathwise super-exponential decay rates of solutions of scalar nonlinear stochastic differential equations”, Stochastics, 77:3 (2005), 241–270 | MR

[4] Appleby J. A. D., Mao X., Rodkina A., “On stochastic stabilization of difference equations”, Discrete Contin. Dyn. Syst. Ser. A, 15 (2006), 843–857 | DOI | MR | Zbl

[5] Appleby J. A. D., Rodkina A., Schurz H., “Pathwise non-exponential decay rates of solutions of scalar nonlinear stochastic differential equation”, Discrete Contin. Dyn. Syst. Ser. B, 6 (2006), 668–696 | MR

[6] Chan T., Williams D., “An 'excursion' approach to an annealing problem”, Math. Proc. Camb. Philos. Soc., 105 (1989), 169–176 | DOI | MR | Zbl

[7] Caraballo T., Garrido-Atienza M., Real J., “Stochastic stabilization of differential systems with general decay rate”, Syst. Control Lett., 48 (2003), 397–406 | DOI | MR | Zbl

[8] Gikhman I. I., Skorochod A. V., Stochastic Differential Equations, Springer, Berlin, 1972 | Zbl

[9] Higham D. J., “Mean-square and asymptotic stability of the stochastic theta method”, SIAM J. Numer. Anal., 38:3 (2003), 753–769 | DOI | MR

[10] Higham D. J., Mao X., Stuart A. M., “Strong convergence of numerical methods for nonlinear stochastic differential equations”, SIAM J. Numer. Anal., 40:3 (2002), 1041–1063 | DOI | MR | Zbl

[11] Higham D. J., Mao X., Stuart A. M., “Exponential mean-square stability of numerical solutions to stohcastic differential equations”, LMS J. Comput. Math., 6 (2003), 297–313 | MR | Zbl

[12] Kloeden P. E., Platen E., Numerical solution of stochastic differential equations, Springer, Berlin, 1992 | MR

[13] Kolmanovskii V., Shaikhet L., “General method of Lyapunov functionals construction for stability investigation of stochastic difference equations”, Dyn. Syst. Appl., World Sci. Ser. Appl. Anal., 4, 1995, 397–439 | DOI | MR

[14] Kolmanovskii V., Shaikhet L., “Some peculiarities of the general method of Lyapunov functionals construction”, Appl. Math. Lett., 15:3 (2002), 355–360 | DOI | MR | Zbl

[15] Liptser R., Shiryayev A., Theory of Martingales, Kluwer Academic Publishers, Dordrecht, 1989 | MR | Zbl

[16] Liu K., “Some remarks on exponential stability of stochastic differential equations”, Stochastic Anal. Appl., 19:1 (2001), 59–65 | DOI | MR | Zbl

[17] Liu K., Mao X., “Exponential stability of non-linear stochastic evolution equations”, Stochastic Process. Appl., 78 (1998), 173–193 | DOI | MR | Zbl

[18] Liu K., Mao X., “Large time behavior of dynamical equations with random perturbation features”, Stochastic Anal. Appl., 19:2 (2001), 295–327 | DOI | MR | Zbl

[19] Milstein G. N., Numerical integration of stochastic differential equations, Kluwer Academic Publishers, Dordrecht, 1995 | MR

[20] Mao X., “Almost sure polynomial stability for a class of stochastic differential equations”, Quart. J. Math. Oxford Ser. 2, 43:2 (1992), 339–348 | DOI | MR | Zbl

[21] Mao X., “Polynomial stability for perturbed stochastic differential equations with respect to semimartingales”, Stochastic Process. Appl., 41 (1992), 101–116 | DOI | MR | Zbl

[22] Mao X., Stochastic differential equations and applications, Horwood Series in Mathematics and Applications, Horwood, Chichester, 1997 | Zbl

[23] Rodkina A., “On asymptotic behavior of solutions of stochastic difference equations”, Nonlinear Anal., 47 (2001), 4719–4730 | DOI | MR | Zbl

[24] Rodkina A., “On asymptotic stability of nonlinear stochastic systems with delay”, Cubo Math. J., 7:1 (2005), 23–42 | MR | Zbl

[25] Rodkina A., Mao X., “On boundedness and stability of solutions of nonlinear difference equation with nonmartingale type noise”, J. Differ. Equations Appl., 7:4 (2001), 529–550 | DOI | MR | Zbl

[26] Rodkina A., Mao X., Kolmanovskii V., “On asymptotic behavior of solutions of stochastic difference equations with Volterra type main term”, Stochastic Anal. Appl., 18:5 (2000), 837–857 | DOI | MR | Zbl

[27] Rodkina A., Nosov V., “Stability of stochastic delay cubic equations”, Dynam. Systems Appl., 15 (2006), 193–205 | MR

[28] Rodkina A., Schurz H., “Global asymptotic stability of solutions to cubic stochastic difference equations”, Adv. Differ. Equ., 3 (2004), 249–260 | DOI | MR | Zbl

[29] Rodkina A., Schurz H., “A theorem on asymptotic stability of solutions of nonlinear stochastic difference equations with Volterra type noise”, Stab. Control Theory Appl., 6:1 (2004), 23–34 | MR

[30] Rodkina A., Schurz H., “On global asymptotic stability of solutions to some in-arithmetic-mean-sense drift-monotone stochastic difference equations”, Int. J. Numer. Anal. Model, 2:3 (2005), 355–366 | MR | Zbl

[31] Saito Y., Mitsui T., “Stability analysis of numerical schemes for stochastic differential equations”, SIAM J. Numer. Anal., 33 (1996), 2254–2267 | DOI | MR | Zbl

[32] Zhang B., Tsoi A. H., “Lyapunov functions in weak exponential stability and controlled stochastic systems”, J. Ramanujan Math. Soc., 11:2 (1996), 85–102 | MR | Zbl

[33] Zhang B., Tsoi A. H., “Weak exponential asymptotic stability of stochastic differential equations”, Stochastic Anal. Appl., 15:4 (1997), 643–649 | DOI | MR | Zbl