Stability of Hybrid SDEs Driven by fBm

Stability of Hybrid SDEs Driven by fBm

In this paper, the exponential stability of stochastic differential equations driven by multiplicative fractional Brownian motion (fBm) with Markovian switching is investigated. The quasi-linear cases with the Hurst parameter H ∈ (1/2, 1) and linear cases with H ∈ (0, 1/2) and H ∈ (1/2, 1) are all s...

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Veröffentlicht in:Frontiers in physics 2021-11, Vol.9
Hauptverfasser: Pei, Wenyi, Zhang, Zhenzhong
Format: Artikel
Sprache:eng
Schlagworte:
fractional brownian motion
hybrid system
markovian switching
stability
stochastic differential equation (SDEs)
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Zusammenfassung:In this paper, the exponential stability of stochastic differential equations driven by multiplicative fractional Brownian motion (fBm) with Markovian switching is investigated. The quasi-linear cases with the Hurst parameter H ∈ (1/2, 1) and linear cases with H ∈ (0, 1/2) and H ∈ (1/2, 1) are all studied in this work. An example is presented as a demonstration.
ISSN:2296-424X
2296-424X
DOI:10.3389/fphy.2021.783434