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Constrained stability and instability of polynomial difference equations with state-dependent noise

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  • We examine the stability and instability of solutions of a polynomial difference equation with state-dependent Gaussian perturbations, and describe a phenomenon that can only occur in discrete time. For a particular set of initial values, we find that solutions approach equilibrium asymptotically in a highly regulated fashion: monotonically and bounded above by a deterministic sequence. We observe this behaviour with a probability that can be made arbitrarily high by choosing the initial value sufficiently small.
       However, for any fixed initial value, the probability of instability is nonzero, and in fact we can show that as the magnitude of the initial value increases, the probability of instability approaches $1$.
    Mathematics Subject Classification: Primary: 34F05, 60H10; Secondary: 65C05, 93E15.


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