A Multiplicative Ergodic Theorem for Discontinuous Random Dynamical Systems and Applications
Probability
2018-01-09 v5
Abstract
Motivated by studying stochastic systems with non-Gaussian L\'evy noise, spectral properties for a type of linear cocycles are considered. These linear cocycles have countable jump discontinuities in time. A multiplicative ergodic theorem is proved for such linear cocycles. Then, the result is illustrated for two linear stochastic systems with general L\'evy motions.
Cite
@article{arxiv.1204.5050,
title = {A Multiplicative Ergodic Theorem for Discontinuous Random Dynamical Systems and Applications},
author = {Huijie Qiao and Jinqiao Duan},
journal= {arXiv preprint arXiv:1204.5050},
year = {2018}
}
Comments
16 pages