Two-sided estimates of Lyapunov exponents for Milstein schemes of non-autonomous stochastic differential equations
The stabilising effect of multiplicative noise for stochastic differential equations, though counterintuitive, has been observed and investigated extensively in last decades. In practice, it is desirable to know if such stabilisation holds also for the discretised setting. In this paper, we address this problem by means of sharp upper and lower estimates for Lyapunov exponents of Milstein schemes for non-autonomous stochastic differential equations. These estimates provide precise large time behaviour in both almost sure and $p$-moment sense. In particular, our results show the preservation of stabilisation from the continuum setting to the discretised setting. One main idea of our analysis is to exploit the second order term concerning the stochastic noise from the Milstein scheme to obtain precise estimates for Taylor expansions of logarithmic and power functions.