Stability Properties of Systems of Linear Stochastic Differential Equations with Random Coefficients

Adrian N. Bishop, Pierre Del Moral

Published 2018-04-25Version 1

This work is concerned with the stability properties of linear stochastic differential equations with random (drift and diffusion) coefficient matrices, and the stability of a corresponding random exponential semigroup. We consider a class of random matrix drift coefficients that involves random perturbations of an exponentially stable flow of deterministic (time-varying) drift matrices. In contrast with more conventional studies, our analysis is not based on the existence of Lyapunov functions and it does not draw on any ergodic properties. These approaches are often difficult to apply in practice when the drift/diffusion coefficients are random. We present rather weak and easily checked perturbation-type conditions for the asymptotic stability properties of time-varying and random linear stochastic differential equations. We provide new log-Lyapunov estimates and exponential contraction inequalities on any time horizon as soon as the fluctuation parameter is sufficiently small. This study yields what seems to be the first result of this type for this class of linear stochastic differential equations with random coefficient matrices.