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Asymptotic constancy and stability in nonautonomous stochastic differential equations

Appleby, John A.D., Gleeson, John P. orcid logoORCID: 0000-0003-2917-6758 and Rodkina, Alexandra (2008) Asymptotic constancy and stability in nonautonomous stochastic differential equations. Cubo, 10 . pp. 145-160. ISSN 0716-7776

Abstract
This paper considers the asymptotic behaviour of a scalar non-autonomous stochastic differential equation which has zero drift, and whose diffusion term is a product of a function of time and space dependent function, and which has zero as a unique. equilibrium solution. We classify the pathwise limiting behaviour of solutions; solution either tends to a non-trivial, non-equilibrium and random limit, or the solution hits zero in finite time. In the first case, the exact rate of decay can always be computed. These results can be inferred from the square integrability of the time dependent factor, and the asymptotic behaviour of the corresponding autonomous stochastic equation, where the time dependent multiplier is unity.
Metadata
Item Type:Article (Published)
Refereed:Yes
Uncontrolled Keywords:Brownian motion, almost sure asymptotic stability, asymptotic constancy, stochastic differential equation, nonautonomous, Feller’s test, explosions.
Subjects:Mathematics
Mathematics > Mathematical analysis
DCU Faculties and Centres:DCU Faculties and Schools > Faculty of Science and Health
DCU Faculties and Schools > Faculty of Science and Health > School of Mathematical Sciences
Publisher:Universidad de la Frontera
Official URL:http://revistas.ufro.cl/ojs/index.php/cubo/
Copyright Information:Authors
ID Code:31264
Deposited On:17 Jul 2025 11:14 by Vidatum Academic . Last Modified 17 Jul 2025 11:14
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