Stability of Hybrid SDEs Driven by fBm

Frontiers in Physics

Wenyi Pei²  Zhenzhong Zhang³ 

[1] Collaborative Innovation Center of Statistical Data Engineering, Technology and Application, Zhejiang Gongshang University, Hangzhou, China;College of Information Science and Technology, Donghua University, Shanghai, China;Department of Statistics, Donghua University, Shanghai, China;School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, China;

关键词: stochastic differential equation (SDEs);    stability;    fractional brownian motion;    markovian switching;    hybrid system;   

DOI  :  10.3389/fphy.2021.783434

来源: DOAJ

【 摘 要 】

In this paper, the exponential stability of stochastic differential equations driven by multiplicative fractional Brownian motion (fBm) with Markovian switching is investigated. The quasi-linear cases with the Hurst parameter H ∈ (1/2, 1) and linear cases with H ∈ (0, 1/2) and H ∈ (1/2, 1) are all studied in this work. An example is presented as a demonstration.

【 授权许可】

Unknown