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hal.structure.identifierUniversity of Technology Sydney [UTS]
dc.contributor.authorBISHOP, Adrian
hal.structure.identifierCentre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorDEL MORAL, Pierre
dc.date.accessioned2024-04-04T02:57:57Z
dc.date.available2024-04-04T02:57:57Z
dc.date.issued2019
dc.identifier.issn0363-0129
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/192609
dc.description.abstractEnThis work is concerned with the stability properties of linear stochastic differential equationswith random (drift and diffusion) coefficient matrices, and the stability of a corresponding ran-dom transition matrix (or exponential semigroup). We consider a class of random matrix driftcoefficients that involves random perturbations of an exponentially stable flow of deterministic(time-varying) drift matrices. In contrast with more conventional studies, our analysis is notbased on the existence of Lyapunov functions, and it does notrely on any ergodic properties.These approaches are often difficult to apply in practice whenthe drift/diffusion coefficients arerandom. We present rather weak and easily checked perturbation-type conditions for the asymp-totic stability of time-varying and random linear stochastic differential equations. We providenew log-Lyapunov estimates and exponential contraction inequalities on any time horizon assoon as the fluctuation parameter is sufficiently small. Theseseem to be the first results of thistype for this class of linear stochastic differential equations with random coefficient matrices.
dc.language.isoen
dc.publisherSociety for Industrial and Applied Mathematics
dc.title.enStability Properties of Systems of Linear Stochastic Differential Equations with Random Coefficients
dc.typeArticle de revue
dc.identifier.doi10.1137/18M1182759
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalSIAM Journal on Control and Optimization
bordeaux.page1023-1042
bordeaux.volume57
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.issue2
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-02429241
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-02429241v1
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