A NOTE ON EXPONENTIAL ALMOST SURE STABILITY OF STOCHASTIC DIFFERENTIAL EQUATION

被引：1

作者：

Mao, Xuerong ^{[1
]}

Song, Qingshuo ^{[2
]}

Yang, Dichuan ^{[2
]}

机构：

[1] Univ Strathclyde, Dept Math & Stat, Glasgow G1 1XQ, Lanark, Scotland

[2] City Univ Hong Kong, Dept Math, Hong Kong, Hong Kong, Peoples R China

来源：

BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY | 2014年 / 51卷 / 01期

关键词：

almost sure stability; stochastic differential equation; regime-switching; Besel squared process;

D O I：

10.4134/BKMS.2014.51.1.221

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：221 / 227

页数：7

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