Stability index of linear random dynamical systems

Abstract

Given a homogeneous linear discrete or continuous dynamical system, its stability index is given by the dimension of the stable manifold of the zero solution. In particular, for the $n$ dimensional case, the zero solution is globally asymptotically stable if and only if this stability index is $n.$ Fixed $n,$ let $X$ be the random variable that assigns to each linear random dynamical system its stability index, and let $p_k$ with $k=0,1,\ldots,n,$ denote the probabilities that $P(X=k)$. In this paper we obtain either the exact values $p_k,$ or their estimations by combining the Monte Carlo method with a least square approach that uses some affine relations among the values $p_k,k=0,1,\ldots,n.$ The particular case of $n$-order homogeneous linear random differential or difference equations is also studied in detail.

Keywords

• stability index
• random differential equations
• random difference equations
• random dynamical systems