Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions
نویسندگان
چکیده
In this paper, we study an eigenvalue problem for stochastic Hamiltonian systems driven by a Brownian motion and Poisson process with boundary conditions. By means of dual transformation and generalized Riccati equation systems, we prove the existence of eigenvalues and construct the corresponding eigenfunctions. Moreover, a specific numerical example is considered to illustrate the phenomenon of statistic periodicity for eigenfunctions of stochastic Hamiltonian systems.
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