Exponential stability for stochastic differential equation driven by G-Brownian motion

Exponential stability for stochastic differential equation driven by G-Brownian motion

Consider a stochastic differential equation driven by G-Brownian motion dX(t)=AX(t)dt+σ(t,X(t))dBt which might be regarded as a stochastic perturbed system of dX(t)=AX(t)dt. Suppose the second equation is quasi surely exponentially stable. In this paper, we investigate the sufficient conditions unde...

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Veröffentlicht in:Applied mathematics letters 2012-11, Vol.25 (11), p.1906-1910
Hauptverfasser: Zhang, Defei, Chen, Zengjing
Format: Artikel
Sprache:eng
Schlagworte:
Capacity
Differential equations
Exponential stability
G-Brownian motion
Mathematical analysis
Stability
Stochastic differential equation
Stochasticity
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Zusammenfassung:Consider a stochastic differential equation driven by G-Brownian motion dX(t)=AX(t)dt+σ(t,X(t))dBt which might be regarded as a stochastic perturbed system of dX(t)=AX(t)dt. Suppose the second equation is quasi surely exponentially stable. In this paper, we investigate the sufficient conditions under which the first equation is still quasi surely exponentially stable.
ISSN:0893-9659
1873-5452
DOI:10.1016/j.aml.2012.02.063