Exponential Stability for Time-changed Stochastic Differential Equations

So far there have been few results presented on the exponential stability for time-changed stochastic differential equations. The main aim of this work is to fill this gap. By making use of general Lyapunov methods and time-changed Itô formula, we establish the exponential stability and almost sure...

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Bibliographic Details
Published in:Acta Mathematicae Applicatae Sinica 2021-07, Vol.37 (3), p.617-627
Main Authors: Zhu, Min, Li, Jun-ping, Liu, De-zhi
Format: Article
Language:English
Subjects:
Applications of Mathematics
Differential equations
Math Applications in Computer Science
Mathematical analysis
Mathematical and Computational Physics
Mathematics
Mathematics and Statistics
Stability
Theoretical
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Summary:So far there have been few results presented on the exponential stability for time-changed stochastic differential equations. The main aim of this work is to fill this gap. By making use of general Lyapunov methods and time-changed Itô formula, we establish the exponential stability and almost sure exponential stability of solution to time-changed SDEs. Finally, we construct some examples to illustrate the effectiveness of our established theory.
ISSN:0168-9673
1618-3932
DOI:10.1007/s10255-021-1031-y