Lyapunov numbers of markov solutions of linear stochastic systems
Hans Crauel · Stochastics · 1984
All nontrivial solutions of x = A(t)x grow exponentially with rate X(x,w)e{A1,...,Xr}, A a (strictly) stationary matrix process. Projecting x to the unit sphere one obtains for each of the Lyapunov exponents Xt a solution xt with stationary angle st. Now if A is a Markov process one can restrict oneself to Markov solutions, i.e., (x, A) shall be a (joint) Markov process (wich is a restriction on the inital conditions). We prove that whenever there is a Markov solution x with Lyapunov number X then there is another Markov solution with a stationary angle (or equivalently: an invariant measure for the transition probabilities of (s, A)) with the same Lyapunov number. This has some consequences, e.g., for the uniqueness of the Lyapunov numbers