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November, 1992 Extremal Character of the Lyapunov Exponent of the Stochastic Harmonic Oscillator
Mark A. Pinsky
Ann. Appl. Probab. 2(4): 942-950 (November, 1992). DOI: 10.1214/aoap/1177005582

Abstract

We give a formula for the quadratic Lyapunov exponent of the harmonic oscillator in the presence of a finite-state Markov noise process. In case the noise process is reversible, the quadratic Lyapunov exponent is strictly less than that for the corresponding white-noise process obtained from the central limit theorem. An example is presented of a nonreversible Markov noise process for which this inequality is reversed.

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Mark A. Pinsky. "Extremal Character of the Lyapunov Exponent of the Stochastic Harmonic Oscillator." Ann. Appl. Probab. 2 (4) 942 - 950, November, 1992. https://doi.org/10.1214/aoap/1177005582

Information

Published: November, 1992
First available in Project Euclid: 19 April 2007

zbMATH: 0788.60072
MathSciNet: MR1189424
Digital Object Identifier: 10.1214/aoap/1177005582

Subjects:
Primary: 60H10
Secondary: 34D05

Keywords: finite-state Markov noise process , Lyapunov exponent , stochastic harmonic oscillator

Rights: Copyright © 1992 Institute of Mathematical Statistics

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Vol.2 • No. 4 • November, 1992
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