Lyapunov exponents of nilpotent ito systems

In all previous work on Lyapunov exponents for stochastic systems, the results take the form of asymptotic power series expansions in the noise parameter. In this paper we consider a natural class of systems driven by white noise for which the asymptotic expansions contain fractional powers of the n...

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Veröffentlicht in:	Stochastics 1988-09, Vol.25 (1), p.43-57
Hauptverfasser:	Pinsky, M. A., Wihstutz, V.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Computer science control theory systems Control theory. Systems Exact sciences and technology hypoellipticity linear ltd system Lyapunov exponent nilpotent matrix random Schrodinger equation System theory
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Zusammenfassung:	In all previous work on Lyapunov exponents for stochastic systems, the results take the form of asymptotic power series expansions in the noise parameter. In this paper we consider a natural class of systems driven by white noise for which the asymptotic expansions contain fractional powers of the noise parameter. In particular we obtain an exact formula for certain cases. The systems studied include the free particle with multiplicative white noise and mechanical systems with one degree of freedom. The results are stated and proved for small noise and large noise
ISSN:	0090-9491 2472-7067
DOI:	10.1080/17442508808833531