Stability of equilibrium with respect to white noise

详细

A system of ordinary differential equations with a local asymptotically stable equilibrium is considered. The problem of stability with respect to a persistent perturbation of the white noise type is discussed. Stability with given bounds is proved on a large time interval with length of the order of the squared inverse perturbation amplitude. The proof is based on the construction of a barrier function for the parabolic Kolmogorov equation associated with the perturbed dynamical system.