A Multiplicative Ergodic Theorem for Discontinuous Random Dynamical Systems and Applications

Huijie Qiao; Jinqiao Duan

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arXiv · 1204.5050

A Multiplicative Ergodic Theorem for Discontinuous Random Dynamical Systems and Applications

Huijie Qiao·Jinqiao Duan

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Abstract

Motivated by studying stochastic systems with non-Gaussian L\'evy noise, spectral properties for a type of linear cocycles are considered. These linear cocycles have countable jump discontinuities in time. A multiplicative ergodic theorem is proved for such linear cocycles. Then, the result is illustrated for two linear stochastic systems with general L\'evy motions.

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BibTeX RIS

Huijie Qiao, Jinqiao Duan. 2012-04-23. A Multiplicative Ergodic Theorem for Discontinuous Random Dynamical Systems and Applications. https://arxiv.org/abs/1204.5050

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