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    Simulation of Moment Lyapunov Exponents for Linear Homogeneous Stochastic Systems

    Source: Journal of Applied Mechanics:;2009:;volume( 076 ):;issue: 003::page 31001
    Author:
    Wei-Chau Xie
    ,
    Qinghua Huang
    DOI: 10.1115/1.3063629
    Publisher: The American Society of Mechanical Engineers (ASME)
    Abstract: Moment Lyapunov exponents are important characteristic numbers for describing the dynamic stability of a stochastic system. When the pth moment Lyapunov exponent is negative, the pth moment of the solution of the stochastic system is stable. Monte Carlo simulation approaches complement approximate analytical methods in the determination of moment Lyapunov exponents and provides criteria on assessing the accuracy of approximate analytical results. For stochastic dynamical systems described by Itô stochastic differential equations, the solutions are diffusion processes and their variances may increase with time. Due to the large variances of the solutions and round-off errors, bias errors in the simulation of moment Lyapunov exponents are significant in improper numerical algorithms. An improved algorithm for simulating the moment Lyapunov exponents of linear homogeneous stochastic systems is presented in this paper.
    keyword(s): Simulation , Noise (Sound) , Algorithms , Stochastic systems , Dynamic systems AND Differential equations ,
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      Simulation of Moment Lyapunov Exponents for Linear Homogeneous Stochastic Systems

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    http://yetl.yabesh.ir/yetl1/handle/yetl/139737
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    contributor authorWei-Chau Xie
    contributor authorQinghua Huang
    date accessioned2017-05-09T00:31:16Z
    date available2017-05-09T00:31:16Z
    date copyrightMay, 2009
    date issued2009
    identifier issn0021-8936
    identifier otherJAMCAV-26748#031001_1.pdf
    identifier urihttp://yetl.yabesh.ir/yetl/handle/yetl/139737
    description abstractMoment Lyapunov exponents are important characteristic numbers for describing the dynamic stability of a stochastic system. When the pth moment Lyapunov exponent is negative, the pth moment of the solution of the stochastic system is stable. Monte Carlo simulation approaches complement approximate analytical methods in the determination of moment Lyapunov exponents and provides criteria on assessing the accuracy of approximate analytical results. For stochastic dynamical systems described by Itô stochastic differential equations, the solutions are diffusion processes and their variances may increase with time. Due to the large variances of the solutions and round-off errors, bias errors in the simulation of moment Lyapunov exponents are significant in improper numerical algorithms. An improved algorithm for simulating the moment Lyapunov exponents of linear homogeneous stochastic systems is presented in this paper.
    publisherThe American Society of Mechanical Engineers (ASME)
    titleSimulation of Moment Lyapunov Exponents for Linear Homogeneous Stochastic Systems
    typeJournal Paper
    journal volume76
    journal issue3
    journal titleJournal of Applied Mechanics
    identifier doi10.1115/1.3063629
    journal fristpage31001
    identifier eissn1528-9036
    keywordsSimulation
    keywordsNoise (Sound)
    keywordsAlgorithms
    keywordsStochastic systems
    keywordsDynamic systems AND Differential equations
    treeJournal of Applied Mechanics:;2009:;volume( 076 ):;issue: 003
    contenttypeFulltext
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