Stability index of linear random dynamical systems

Given a homogeneous linear discrete or continuous dynamical system, its stability index is given by the dimension of the stable manifold of the zero solution. In particular, for the $n$ dimensional case, the zero solution is globally asymptotically stable if and only if this stability index is n. Fixed n, let p_k, k=0,1,...,n, denote the probabilities that the random variable that assigns to each linear random dynamical system its stability index takes the value k. In this paper we obtain either the exact values p_k, or their estimations by combining the Monte Carlo method with a least square approach that uses some affine relations among the values p_k,k=0,1,...,n. The particular case of n-order homogeneous linear random differential or difference equations is also studied in detail.

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