Almost sure polynomial asymptotic stability of stochastic difference equations

Abstract

In this paper, we establish the almost sure asymptotic stability and decay results for solutions of an autonomous scalar difference equation with a nonhyperbolic equilibrium at the origin, which is perturbed by a random term with a fading state-independent intensity. In particular, we show that if the unbounded noise has tails that fade more quickly than polynomially, then the state-independent perturbation dies away at a sufficiently fast polynomial rate in time, and if the autonomous difference equation has a polynomial nonlinearity at the origin, then the almost sure polynomial rate of decay of solutions can be determined exactly.