Constrained stability and instability of polynomial difference equations with state-dependent noise

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June 2009, 11(4): 913-933. doi: 10.3934/dcdsb.2009.11.913

Constrained stability and instability of polynomial difference equations with state-dependent noise

Cónall Kelly ^1, and Alexandra Rodkina ^1,

1.	Department of Mathematics, University of the West Indies, Kingston, 7, Jamaica, Jamaica

Received August 2008 Revised February 2009 Published April 2009

Abstract
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We examine the stability and instability of solutions of a polynomial difference equation with state-dependent Gaussian perturbations, and describe a phenomenon that can only occur in discrete time. For a particular set of initial values, we find that solutions approach equilibrium asymptotically in a highly regulated fashion: monotonically and bounded above by a deterministic sequence. We observe this behaviour with a probability that can be made arbitrarily high by choosing the initial value sufficiently small.
However, for any fixed initial value, the probability of instability is nonzero, and in fact we can show that as the magnitude of the initial value increases, the probability of instability approaches $1$.

Keywords: instability, a.s. asymptotic stability, state dependent perturbations., local stability, Stochastic difference equations.

Mathematics Subject Classification: Primary: 34F05, 60H10; Secondary: 65C05, 93E1.

Citation: Cónall Kelly, Alexandra Rodkina. Constrained stability and instability of polynomial difference equations with state-dependent noise. Discrete & Continuous Dynamical Systems - B, 2009, 11 (4) : 913-933. doi: 10.3934/dcdsb.2009.11.913

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