Stability of Linear Stochastic Differential Equations with Respect to Fractional Brownian Motion

被引：0

作者：

舒慧生 ^{[1
]}

陈春丽 ^{[1
]}

魏国亮 ^{[2
]}

机构：

[1] College of Science,Donghua University

[2] School of Information Science and Technology,Donghua University

来源：

Journal of Donghua University(English Edition) | 2009年 / 26卷 / 02期

基金：

上海市自然科学基金;

关键词：

fractional Brownian motion; It’s formula; stochastically stability; improved derivative operator;

D O I：

10.19884/j.1672-5220.2009.02.002

中图分类号：

O211.63 [随机微分方程];

学科分类号：

摘要：

This paper is concerned with the stochastically stability for the m-dimensional linear stochastic differential equations with respect to fractional Brownian motion(FBM)with Hurst parameter H∈(1/2,1).On the basis of the pioneering work of Duncan and Hu,a It’s formula is given.An improved derivative operator to Lyapunov functions is constructed,and the sufficient conditions for the stochastically stability of linear stochastic differential equations driven by FBM are established.These extend the stochastic Lyapunov stability theories.

引用

页码：119 / 125

页数：7

共 50 条

[11] Impulsive stochastic fractional differential equations driven by fractional Brownian motion
Mahmoud Abouagwa
Feifei Cheng
Ji Li
Advances in Difference Equations, 2020
[12] Instrumental variable estimation for linear stochastic differential equations driven by fractional Brownian motion
Rao, B. L. S. Prakasa
STOCHASTIC ANALYSIS AND APPLICATIONS, 2007, 25 (06) : 1203 - 1215
[13] Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
Rao, B. L. S. Prakasa
STOCHASTIC ANALYSIS AND APPLICATIONS, 2018, 36 (05) : 767 - 781
[14] Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
Rao, B. L. S. Prakasa
RANDOM OPERATORS AND STOCHASTIC EQUATIONS, 2008, 16 (01) : 27 - 38
[15] Fuzzy stochastic differential equations driven by fractional Brownian motion
Hossein Jafari
Marek T. Malinowski
M. J. Ebadi
Advances in Difference Equations, 2021
[16] Approximation of Stochastic Differential Equations with Modified Fractional Brownian Motion
Grecksch, W.
Ahn, V. V.
ZEITSCHRIFT FUR ANALYSIS UND IHRE ANWENDUNGEN, 1998, 17 (03): : 715 - 727
[17] Approximation of stochastic differential equations driven by fractional Brownian motion
Lisei, Hannelore
Soos, Anna
SEMINAR ON STOCHASTIC ANALYSIS, RANDOM FIELDS AND APPLICATIONS V, 2008, 59 : 227 - 241
[18] Fuzzy stochastic differential equations driven by fractional Brownian motion
Jafari, Hossein
Malinowski, Marek T.
Ebadi, M. J.
ADVANCES IN DIFFERENCE EQUATIONS, 2021, 2021 (01)
[19] Ergodicity of stochastic differential equations driven by fractional Brownian motion
Hairer, M
ANNALS OF PROBABILITY, 2005, 33 (02): : 703 - 758
[20] Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
Li, Min
Hu, Yaozhong
Huang, Chengming
Wang, Xiong
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2023, 420

← 1 2 3 4 5 →