The lyapunov spectrum and stable manifolds for stochastic linear delay equations

Abstract

A class of linear stochastic retarded functional differential equations is considered. These equations have diffusion coefficients that do not look into the past. It is shown that the trajectories of such equations form a continuous linear cocycle on the underlying state space. At times greater than the delay the cocycle is almost surely compact. Consequently, using an infinite-dimensional Oseledec multiplicative ergodic theorem of Ruelle, the existence of a countable non-random Lyapunov spectrum is proved. In the hyperbolic case it is shown that the state space admits an almost sure saddle-point splitting which is cocycle-invariant and corresponds to an exponential dichotomy for the stochastic flow

Keywords:

• Lyapunov exponents
• Lyapunov spectrum
• (compact) cocycle
• Brownian shift
• stochastic delay equation
• regular stochastic f.d.e
• multiplicative ergodic theorem
• stable manifolds
• trajectory field
• stochastic (semi) flow
• subadditive ergodic theorem
• hyper bolicity
• cocycle invariance
• exponential dichotomy

^*Research Partially Supported by the Institute of Mathematics and its Applications and by Southern Illinois University (Carbondale)

^*Research Partially Supported by the Institute of Mathematics and its Applications and by Southern Illinois University (Carbondale)

Notes

^*Research Partially Supported by the Institute of Mathematics and its Applications and by Southern Illinois University (Carbondale)