Title
The Top Lyapunov Exponent of Symplectic Stochastic Differential Equations: Theory and Numerics
Date of Completion
8-30-2013
Embargo Period
8-30-2013
Major Advisor
Maria Gordina
Associate Advisor
Alexander Teplyaev
Associate Advisor
Richard Bass
Field of Study
Mathematics
Open Access
Open Access
Abstract
We calculate the top Lyapunov exponent for solutions to linear stochastic differ- ential equations with non-commuting drift and diffusion matrices. In particular we consider (1) a class of Rd-valued stochastic differential equations arising in the study of the noisy harmonic oscillator (2) Sp(2, R)-valued stochastic differential equations are considered. Additionally, numerical bounds are provided and simulation techniques are discussed with an example.
Recommended Citation
Baldenko, Alex, "The Top Lyapunov Exponent of Symplectic Stochastic Differential Equations: Theory and Numerics" (2013). Doctoral Dissertations. 240.
https://digitalcommons.lib.uconn.edu/dissertations/240