2011, 2011(Special): 332-342. doi: 10.3934/proc.2011.2011.332

Coincidence of Lyapunov exponents and central exponents of linear Ito stochastic differential equations with nondegenerate stochastic term

1. 

Institute of Mathematics, Vietnamese Academy of Science and Technology, 18 Hoang Quoc Viet Road, 10307 Hanoi, Vietnam

2. 

Academy of Finance, Dong Ngac, Tu Liem, Hanoi, Vietnam

Received  July 2010 Revised  March 2011 Published  October 2011

In this paper we show that under a nondegeneracy condition Lyapunov exponents and central exponents of linear Ito stochastic di erential equation coincide. Furthermore, as the stochastic term is small and tends to zero the highest Lyapunov exponent tends to the highest central exponent of the ordinary di erential equation which is the deterministic part of the system.
Citation: Nguyen Dinh Cong, Nguyen Thi Thuy Quynh. Coincidence of Lyapunov exponents and central exponents of linear Ito stochastic differential equations with nondegenerate stochastic term. Conference Publications, 2011, 2011 (Special) : 332-342. doi: 10.3934/proc.2011.2011.332
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