Adjoint equation and Lyapunov regularity for linear stochastic differential algebraic equations of index 1
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
Abstract
We introduce a concept of adjoint equation and Lyapunov regularity of a stochastic differential algebraic Equation (SDAE) of index 1. The notion of adjoint SDAE is introduced in a similar way as in the deterministic differential algebraic equation case. We prove a multiplicative ergodic theorem for the adjoint SDAE and the adjoint Lyapunov spectrum. Employing the notion of adjoint equation and Lyapunov spectrum of an SDAE, we are able to define Lyapunov regularity of SDAEs. Some properties and an example of a metal oxide semiconductor field-effect transistor ring oscillator under thermal noise are discussed.
Details
| Original language | English |
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| Pages (from-to) | 776-802 |
| Number of pages | 27 |
| Journal | Stochastics |
| Volume | 86 |
| Issue number | 5 |
| Publication status | Published - Sept 2014 |
| Peer-reviewed | Yes |
External IDs
| ORCID | /0000-0003-0967-6747/work/213148702 |
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Keywords
ASJC Scopus subject areas
Keywords
- adjoint equation, Lyapunov regularity, induced two-parameter stochastic flow, Lyapunov exponent, stochastic differential algebraic equation