Original title: Stability of the Stochastic Differential Equations
Authors: Klimešová, M.
Document type: Papers
Language: eng
Publisher: Vysoké učení technické v Brně, Fakulta elektrotechniky a komunikačních technologií
Abstract: Stability of stochastic differential equations (SDEs) has become a very popular theme of recent research in mathematics and its applications. The method of Lyapunov functions for the analysis of qualitative behavior of SDEs provide some very powerful instruments in the study of stability properties for concrete stochastic dynamical systems, conditions of existence the stationary solutions of SDEs and related problems. The study of exponential stability of the moments makes natural the consideration of certain properties of the moment Lyapunov exponents. Another important characteristic for stability (or instability) of the stochastic systems is the stability index.
Keywords: Brownian motion; Lyapunov function; stability; stochastic differential equation
Host item entry: Proceedings of the 21st Conference STUDENT EEICT 2015, ISBN 978-80-214-5148-3

Institution: Brno University of Technology (web)
Document availability information: Fulltext is available in the Brno University of Technology Digital Library.
Original record: http://hdl.handle.net/11012/43056

Permalink: http://www.nusl.cz/ntk/nusl-220485


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