A NOTE ON EXPONENTIAL ALMOST SURE STABILITY OF STOCHASTIC DIFFERENTIAL EQUATION

A NOTE ON EXPONENTIAL ALMOST SURE STABILITY OF STOCHASTIC DIFFERENTIAL EQUATION

Our goal is to relax a sufficient condition for the exponential almost sure stability of a certain class of stochastic differential equations. Compared to the existing theory, we prove the almost sure stability, replacing Lipschitz continuity and linear growth conditions by the existence of a strong...

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Veröffentlicht in:Taehan Suhakhoe hoebo 2014, 51(1), , pp.221-227
Hauptverfasser: Mao, Xuerong, Song, Qingshuo, Yang, Dichuan
Format: Artikel
Sprache:eng
Schlagworte:
수학
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Zusammenfassung:Our goal is to relax a sufficient condition for the exponential almost sure stability of a certain class of stochastic differential equations. Compared to the existing theory, we prove the almost sure stability, replacing Lipschitz continuity and linear growth conditions by the existence of a strong solution of the underlying stochastic differential equation. This result is extendable for the regime-switching system. An explicit example is provided for the illustration purpose. KCI Citation Count: 1
ISSN:1015-8634
2234-3016
DOI:10.4134/BKMS.2014.51.1.221