Adjoint equation and Lyapunov regularity for linear stochastic differential algebraic equations of index 1

Research output: Contribution to journalResearch articleContributedpeer-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 languageEnglish
Pages (from-to)776-802
Number of pages27
JournalStochastics
Volume86
Issue number5
Publication statusPublished - Sept 2014
Peer-reviewedYes

External IDs

ORCID /0000-0003-0967-6747/work/213148702

Keywords

Keywords

  • adjoint equation, Lyapunov regularity, induced two-parameter stochastic flow, Lyapunov exponent, stochastic differential algebraic equation