Delay-dependent Asymptotic Stability of Highly Nonlinear Stochastic Differential Delay Equations Driven by G-Brownian Motion

被引：19

作者：

Fei, Chen ^{[1
]}

Fei, Weiyin ^{[2
,3
]}

Mao, Xuerong ^{[4
]}

Yan, Litan ^{[5
]}

机构：

[1] Univ Shanghai Sci & Technol, Business Sch, Shanghai 200093, Peoples R China

[2] Anhui Polytech Univ, Key Lab Adv Percept & Intelligent Control High En, Minist Educ, Wuhu 241000, Peoples R China

[3] Anhui Polytech Univ, Sch Math Phys & Finance, Wuhu 241000, Peoples R China

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

[5] Donghua Univ, Coll Sci, Dept Stat, Shanghai 201620, Peoples R China

来源：

JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS | 2022年 / 359卷 / 09期

基金：

中国国家自然科学基金;

关键词：

REPRESENTATION THEOREM; AMBIGUOUS VOLATILITY; PORTFOLIO CHOICE; FEEDBACK-CONTROL; BOUNDEDNESS; CALCULUS; SYSTEMS; STABILIZATION; EXPECTATIONS; UTILITY;

D O I：

10.1016/j.jfranklin.2022.03.027

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Based on the classical probability, the stability of stochastic differential delay equations (SDDEs) whose coefficients are growing at most linearly has been investigated intensively. Moreover, the delay-dependent stability of highly nonlinear hybrid stochastic differential equations (SDEs) has also been studied recently. In this paper, using the nonlinear expectation theory, we first explore the delay-dependent criteria on the asymptotic stability for a class of highly nonlinear SDDEs driven by G-Brownian motion (G-SDDEs). Then, the (weak) quasi-sure stability of solutions to G-SDDEs is developed. Finally, an example is analyzed by the phi-max-mean algorithm to illustrate our theoretical results. (C) 2022 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

引用

页码：4366 / 4392

页数：27

共 50 条

[41] Boundedness and stability analysis for impulsive stochastic differential equations driven by G-Brownian motion
Xu, Liguang
Ge, Shuzhi Sam
Hu, Hongxiao
INTERNATIONAL JOURNAL OF CONTROL, 2019, 92 (03) : 642 - 652
[42] Exponential stability of neutral stochastic functional differential equations driven by G-Brownian motion
Zhu, Min
Li, Junping
Zhu, Yongxiang
JOURNAL OF NONLINEAR SCIENCES AND APPLICATIONS, 2017, 10 (04): : 1830 - 1841
[43] Practical stability of the analytical and numerical solutions of stochastic delay differential equations driven by G-Brownian motion via some novel techniques
Yuan, Haiyan
Zhu, Quanxin
CHAOS SOLITONS & FRACTALS, 2024, 183
[44] EXPONENTIAL STABILITY OF SOLUTIONS TO IMPULSIVE STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY G-BROWNIAN MOTION
Ren, Yong
Jia, Xuejuan
Hu, Lanying
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2015, 20 (07): : 2157 - 2169
[45] FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY G-BROWNIAN MOTION WITH DELAYS
Saci, Akram
Redjil, Amel
Boutabia, Hacene
Kebiri, Omar
PROBABILITY AND MATHEMATICAL STATISTICS-POLAND, 2023, 43 (01): : 1 - 21
[46] The Support of the Solution for Stochastic Differential Equations Driven by G-Brownian Motion
Gao, Fu Qing
Xu, Ming Zhou
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2012, 28 (12) : 2417 - 2430
[47] Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations
Qu, Xiaomei
Huang, Chengming
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2012, 89 (08) : 1039 - 1050
[48] WEIGHTED EXPONENTIAL STABILITY OF STOCHASTIC COUPLED SYSTEMS ON NETWORKS WITH DELAY DRIVEN BY G-BROWNIAN MOTION
Ren, Yong
Yang, Huijin
Yin, Wensheng
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2019, 24 (07): : 3379 - 3393
[49] A note on sufficient conditions of asymptotic stability in distribution of stochastic differential equations with G-Brownian motion
Fei, Chen
Fei, Weiyin
Mao, Xuerong
APPLIED MATHEMATICS LETTERS, 2023, 136
[50] Some properties of stochastic differential equations driven by the G-Brownian motion
Qian Lin
Acta Mathematica Sinica, English Series, 2013, 29 : 923 - 942

← 1 2 3 4 5 →