A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index >12

Phan Thanh Hong and Cao Tan Binh

Statistics & Probability Letters, 2018, vol. 138, issue C, 127-136

Abstract: We prove a criterion for the almost sure exponential stability of the scalar non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index >1∕2. To do that, we need a version of existence and uniqueness of the solution for non-autonomous linear system.

Keywords: Stochastic differential delay equations driven by fBm (fSDDE); Young integral; Fractional derivatives; Exponential stability (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2018.02.064

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