Stability Analysis of Stochastic Differential Equation Driven by G-Brownian Motion under Non-Lipschitz Condition

Li Ma, Yujing Li and Zhiguo Yan

Mathematical Problems in Engineering, 2022, vol. 2022, 1-16

Abstract: This paper is devoted to studying the p-th moment exponential stability for a class of stochastic differential equation (SDE) driven by G-Brownian motion under non-Lipschitz condition. The delays considered in this paper are time-varying delays τit1≤i≤3. Since the coefficients are non-Lipschitz, the normal enlargement on the coefficients is not available and the Gronwall inequality is not suitable in this case. By Bihari inequality and Itô integral formula, it is pointed out that there exists a constant τ∗ such that the p-th moment exponential stability holds if the time-varying delays are smaller than τ∗.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:7592535

DOI: 10.1155/2022/7592535

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