THE ASYMPTOTIC BEHAVIOR OF SEMI-INVARIANTS FOR LINEAR STOCHASTIC SYSTEMS
Keyword(s):
The asymptotic behavior of semi-invariants of the random variable ln |X(t,x)|, where X(t,x) is a solution of a linear system of stochastic differential equations, is connected with the moment Lyapunov exponent g(p). Namely, it is obtained that the nth semi-invariant is asymptotically proportional to the time t with the coefficient of proportionality g(n)(0). The proof is based on the concept of analytic characteristic functions. It is also shown that the asymptotic behavior of the analytic characteristic function of ln |X(t,x)| in a neighborhood of the origin of the complex plane is controlled by the extension g(iz) of g(p).
1962 ◽
Vol 58
(2)
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pp. 430-432
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2018 ◽
Vol 18
(10)
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pp. 1850128
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1968 ◽
Vol 307
(1490)
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pp. 317-334
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2016 ◽
Vol 286
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pp. 189-200
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