Detail publikace

Stability of Stochastic Differential Systems

KLIMEŠOVÁ, M.

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.

Rok RIV

2015

Vydáno

17. 8. 2015

Nakladatel

FEKT VUT

Místo

Brno

ISBN

978-80-214-5239-8

Kniha

Sborník příspěvků studentské konference Kohútka 2015.

Strany od

1

Strany do

4

Strany počet

4

BibTex

@inproceedings{BUT115568,
  author="Marie {Klimešová}",
  title="Stability of Stochastic Differential Systems",
  booktitle="Sborník příspěvků studentské konference Kohútka 2015.",
  year="2015",
  pages="1--4",
  publisher="FEKT VUT",
  address="Brno",
  isbn="978-80-214-5239-8"
}