Stochastic Modeling

Download Lyapunov Functionals and Stability of Stochastic Difference by Leonid Shaikhet PDF

By Leonid Shaikhet

Hereditary platforms (or structures with both hold up or after-effects) are familiar to version methods in physics, mechanics, keep watch over, economics and biology. an immense point of their research is their stability.

Stability stipulations for distinction equations with hold up will be got utilizing Lyapunov functionals.

Lyapunov Functionals and balance of Stochastic distinction Equations describes the final approach to Lyapunov functionals development to enquire the soundness of discrete- and continuous-time stochastic Volterra distinction equations. the tactic permits the research of the measure to which the steadiness homes of differential equations are preserved of their distinction analogues.

The textual content is self-contained, starting with uncomplicated definitions and the mathematical basics of Lyapunov functionals development and relocating on from specific to common balance effects for stochastic distinction equations with consistent coefficients. effects are then mentioned for stochastic distinction equations of linear, nonlinear, not on time, discrete and non-stop kinds. Examples are drawn from various actual and organic structures together with inverted pendulum keep watch over, Nicholson's blowflies equation and predator-prey relationships.

Lyapunov Functionals and balance of Stochastic distinction Equations is basically addressed to specialists in balance thought yet may also be of use within the paintings of natural and computational mathematicians and researchers utilizing the guidelines of optimum regulate to review monetary, mechanical and organic systems.

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Additional resources for Lyapunov Functionals and Stability of Stochastic Difference Equations

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4 Fourth Way of the Construction of the Lyapunov Functional ∞ ∞ j p j =3 p=0 ∞ l=0 + |a2 |d33 j =3 p=3 p σ2−p p σj −p + d12 a2 l=0 ∞ j p j =3 p=2 σj −p j p + α3 d33 j =4 p=4 σj −p d12 d13 (α3 + S1 ) + (α3 + S2 ) + |a2 |d33 (α3 + S3 ) a2 a2 = |d12 | + |d13 | |a2 | + α3 d33 |a2 | + α3 + S4 + ∞ ∞ j p + d33 j =0 p=0 ∞ l=0 j =3 p=3 p σj −p j p j =1 p=1 ∞ j + |a2 |d33 ∞ d13 a2 p σl + σj −p σj −p + d12 a2 ∞ j p j =2 p=2 σj −p j p + α3 d33 j =4 p=4 σj −p . 2) we have ∞ ∞ j j =0 p=0 ∞ p σj −p p σl ∞ = p=0 j =p l=0 ∞ j p j =k p=k σj −p = ∞ ∞ p=k j =p p p σj −p ∞ p σl l=0 ∞ ∞ σj −p = ∞ ∞ p=0 l=0 = p σl = Sk , 2 p σl Therefore γ0 + γ1 + γ2 + γ3 = d13 d12 (α3 + S1 ) + (α3 + S2 ) + |a2 |d33 (α3 + S3 ) a2 a2 + α3 d33 |a2 | + α3 + S4 + + d33 S0 + = S0 , k = 1, 2, 3, 4.

Xi ) = 0, j G1 (i, j, xj ) = 0, i−j G2 (i, j, x−h , . . , xj ) = σj −l xl , l=−h j = 0, . . , i, i = 0, 1, . . 2. 8) in this case is yi+1 = a0 yi . The function vi = yi2 is a Lyapunov function for this equation if |a0 | < 1, since vi = (a02 − 1)yi2 . 3. The functional V1i has to be chosen in the form V1i = xi2 . 4. 2) we have 2 i 2 − xi2 = E E V1i = E xi+1 ai−l xl + ηi 3 − Exi2 = −Exi2 + l=−h Ik , k=1 where 2 i I1 = E ai−l xl i I2 = 2Eηi , l=−h ai−l xl , I3 = Eηi2 . 2) i I1 ≤ α1 |ai−l |Exl2 .

73), one can transform Qλ0 (ϕ) in the following way: Qλ0 (ϕ) = = Lλ0 (ϕ) 2 − λ−1 0 (a + 1) = λ0 Lλ0 (ϕ) λ0 Lλ0 (ϕ) 2iλ0 Lλ0 (ϕ) = = 2λ0 − (a + 1) ±iδ ∓2δ (a + 1)ϕ0 + 2bϕ−1 i((a + 1)ϕ0 ± iδϕ0 + 2bϕ−1 ) ϕ0 = ∓i . ∓2δ 2 2δ The theorem is proven. 3 are shown in Fig. 2: (1) at the left of the curve KLMK and from the right of the curve KLN K; (2) the line KL; (3) the curve MLN M; 4) under the curve MLNM. The point L with the coordinates a = −1, b = 0 is excluded, since in this point λ0 = 0. 60). Below in Figs.

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