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Almost sure stability of linear stochastic differential equations with jumps
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  • Published: May 2002

Almost sure stability of linear stochastic differential equations with jumps

  • C. W. Li1,
  • Z. Dong2 &
  • R. Situ3 

Probability Theory and Related Fields volume 123, pages 121–155 (2002)Cite this article

  • 385 Accesses

  • 24 Citations

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Abstract

 Under the nondegenerate condition as in the diffusion case, see [14, 21, 6], the linear stochastic jump-diffusion process projected on the unit sphere is a strong Feller process and has a unique invariant measure which is also ergodic using the relation between the transition probabilities of jump-diffusions and the corresponding diffusions due to [22]. The unique deterministic Lyapunov exponent can be represented by the Furstenberg-Khas'minskii formula as an integral over the sphere or the projective space with respect to the ergodic invariant measure so that the almost sure asymptotic stability of linear stochastic systems with jumps depends on its sign. The critical case of zero Lyapunov exponent is discussed and a large deviations result for asymptotically stable systems is further investigated. Several examples are treated for illustration.

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Authors and Affiliations

  1. Department of Mathematics, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong. e-mail: macwli@cityu.edu.hk (corresponding author), , , , , , HK

    C. W. Li

  2. Institute of Applied Mathematics, Academy of Mathematics and Systems Sciences, Academia Sinica, Beijing 100080, P. R. China., , , , , , CN

    Z. Dong

  3. Department of Mathematics, Zhongshan University, Guangzhou 510275, P. R. China, , , , , , CN

    R. Situ

Authors
  1. C. W. Li
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  2. Z. Dong
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  3. R. Situ
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Received: 22 June 2000 / Revised version: 20 November 2001 / Published online: 13 May 2002

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Li, C., Dong, Z. & Situ, R. Almost sure stability of linear stochastic differential equations with jumps. Probab Theory Relat Fields 123, 121–155 (2002). https://doi.org/10.1007/s004400200198

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  • Issue Date: May 2002

  • DOI: https://doi.org/10.1007/s004400200198

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Keywords

  • Lyapunov Exponent
  • Invariant Measure
  • Projective Space
  • Unit Sphere
  • Asymptotic Stability
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