Il'yn AS, Kopyev AV, Sirota VA, Zybin KP. Long-term properties of finite-correlation-time isotropic stochastic systems.
Phys Rev E 2022;
105:054130. [PMID:
35706272 DOI:
10.1103/physreve.105.054130]
[Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 03/14/2022] [Accepted: 04/20/2022] [Indexed: 11/07/2022]
Abstract
We consider finite-dimensional systems of linear stochastic differential equations ∂_{t}x_{k}(t)=A_{kp}(t)x_{p}(t), A(t) being a stationary continuous statistically isotropic stochastic process with values in real d×d matrices. We suppose that the laws of A(t) satisfy the large-deviation principle. For these systems, we find exact expressions for the Lyapunov and generalized Lyapunov exponents and show that they are determined in a precise way only by the rate function of the diagonal elements of A.
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