Simulation of Moment Lyapunov Exponents for Linear Homogeneous Stochastic Systems

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.