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Decay Rates of Solutions of Linear Stochastic Volterra Equations


 
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1. Title Title of document Decay Rates of Solutions of Linear Stochastic Volterra Equations
 
2. Creator Author's name, affiliation, country David W Reynolds; Dublin City University
 
2. Creator Author's name, affiliation, country John A. D. Appleby; Dublin City University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) almost sure exponential asymptotic stability, Liapunov exponent, subexponential distribution, subexponential function, Volterra equations, Ito-Volterra equations
 
3. Subject Subject classification 4K20, 34K50, 60H10, 60H20, 45D05.
 
4. Description Abstract The paper studies the exponential and non--exponential convergence rate to zero of solutions of scalar linear convolution Ito-Volterra equations in which the noise intensity depends linearly on the current state. By exploiting the positivity of the solution, various upper and lower bounds in first mean and almost sure sense are obtained, including Liapunov exponents.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-05-09
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/507
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-507
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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