Almost sure asymptotic stability of scalar stochastic delay equations: Finite state Markov process

N. Sri Namachchivaya, Volker Wihstutz

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we study the almost-sure asymptotic stability of scalar delay differential equations with random parametric fluctuations which are modeled by a Markov process with finitely many states. The techniques developed for the determination of almost-sure asymptotic stability of finite dimensional stochastic differential equations will be extended to delay differential equations with random parametric fluctuations. For small intensity noise, we construct an asymptotic expansion for the exponential growth rate (the maximal Lyapunov exponent), which determines the almost-sure stability of the stochastic system.

Original languageEnglish (US)
Article number1150010
JournalStochastics and Dynamics
Volume12
Issue number1
DOIs
StatePublished - Mar 2012

ASJC Scopus subject areas

  • Modeling and Simulation

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