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：

JournalofDonghuaUniversity(EnglishEdition) | 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：

020208 ; 070103 ; 0714 ;

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

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