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On the stability of an invariant set of a system of stochastic differential equations. (English. Russian original) Zbl 0838.60049

Theory Probab. Math. Stat. 46, 47-50 (1993); translation from Teor. Jmovirn. Mat. Stat. 46, 50-53 (1992).
The invariant set of a linear stochastic differential equation is analyzed, and sufficient conditions for stability of the invariant set are given.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
93E15 Stochastic stability in control theory