On stability of large-scale G-SDEs: A decomposition approach

Wensheng Yin and Jinde Cao

Applied Mathematics and Computation, 2021, vol. 388, issue C

Abstract: A decomposition approach is used to discuss the stability of large-scale stochastic differential equations driven by G-Brownian motion (G-SDEs, in short). This method establishes the connection between the large-scale G-SDEs and the corresponding reference G-SDEs (which is also called the isolated subsystems). It is shown that large-scale G-SDEs are exponentially stable in mean square if and only if each of the subsystems are exponentially stable in mean square. Finally, some interesting examples will be put forward to verifying the main results.

Keywords: Exponential stability; Large-scale stochastic systems; G-Brownian motion; Isolated subsystems (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:388:y:2021:i:c:s0096300320304264

DOI: 10.1016/j.amc.2020.125466

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