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KLIMEŠOVÁ, M. BAŠTINEC, J.
Originální název
Stability of Stochastic Differential Systems
Typ
článek ve sborníku ve WoS nebo Scopus
Jazyk
angličtina
Originální abstrakt
This paper surveys the elementary theory of stability of solution of stochastic differential equations (SDEs) and systems. It can be used in population models, epidemic and genetic models in medicine and biology, meteorology models, in physical science, for analysis in economy, financial mathematics, etc. The article starts with a review of the stochastic theory. Then, conditions are deduced for the asymptotic mean square stability of the zero solution of stochastic equation with one-dimensional Brownian motion and system with two-dimensional Brownian motion. It is used a Lyapunov function. The method of Lyapunov functions for the analysis of behavior of SDEs provides some very useful information in the study of stability properties for concrete stochastic dynamical systems, conditions of existence the stationary solutions of SDEs and related problems.
Klíčová slova
Brownian motion, stochastic differential equation, Lyapunov function, stochastic Lyapunov function, stability, stochastic stability
Autoři
KLIMEŠOVÁ, M.; BAŠTINEC, J.
Rok RIV
2015
Vydáno
18. 6. 2015
Nakladatel
Univerzita obrany
Místo
Brno
ISBN
978-80-7231-998-5
Kniha
Matematika, informační technologie a aplikované vědy (MITAV 2015)
Číslo edice
1
ISSN
NEUVEDENO
Strany od
Strany do
9
Strany počet
BibTex
@inproceedings{BUT114984, author="Marie {Klimešová} and Jaromír {Baštinec}", title="Stability of Stochastic Differential Systems", booktitle="Matematika, informační technologie a aplikované vědy (MITAV 2015)", year="2015", number="1", pages="1--9", publisher="Univerzita obrany", address="Brno", isbn="978-80-7231-998-5" }