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I am interested in the following time-invariant multivariate SDE: \begin{equation} dx_i = \sum_{j} a_{ij} x_j\,dt + \sum_{j,k} b_{ijk} x_k \, dW_j \end{equation} Despite its simplicity the general ...

Lemma 1 is widely used in the stability proof of stochastic process. Lemma 1 Assume that $\xi_k$ is a stochastic process and there is a stochastic process $V(\xi_k)$ as well as real numbers $\upsilon_{...

I asked this problem on MSE some while ago, but it has stubbornly resisted any attempts at solving it. Maybe there is someone here who can either close the gap in one of the existing answers or has ...

I'm looking for results on the stability of stochastic systems, e.g. SDEs, whose coefficients depend on a different process that is not necessarily stable. I'm calling those systems "open" here, but ...