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Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps

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  • Luo, Jiaowan
  • Liu, Kai

Abstract

A strong solutions approximation approach for mild solutions of stochastic functional differential equations with Markovian switching driven by Lévy martingales in Hilbert spaces is considered. The Razumikhin-Lyapunov type function methods and comparison principles are studied in pursuit of sufficient conditions for the moment exponential stability and almost sure exponential stability of equations in which we are interested. The results of [A.V. Svishchuk, Yu.I. Kazmerchuk, Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance, Theor. Probab. Math. Statist. 64 (2002) 167-178] are generalized and improved as a special case of our theory.

Suggested Citation

  • Luo, Jiaowan & Liu, Kai, 2008. "Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(5), pages 864-895, May.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:5:p:864-895
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    References listed on IDEAS

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    1. Elisa Nicolato & Emmanouil Venardos, 2003. "Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type," Mathematical Finance, Wiley Blackwell, vol. 13(4), pages 445-466, October.
    2. Mao, Xuerong, 1999. "Stability of stochastic differential equations with Markovian switching," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 45-67, January.
    3. Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
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    Cited by:

    1. Huabin Chen, 2015. "The existence and exponential stability for neutral stochastic partial differential equations with infinite delay and poisson jump," Indian Journal of Pure and Applied Mathematics, Springer, vol. 46(2), pages 197-217, April.
    2. Xu, Liping & Li, Zhi, 2018. "Stochastic fractional evolution equations with fractional brownian motion and infinite delay," Applied Mathematics and Computation, Elsevier, vol. 336(C), pages 36-46.
    3. Cui, Jing & Yan, Litan & Sun, Xichao, 2011. "Exponential stability for neutral stochastic partial differential equations with delays and Poisson jumps," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1970-1977.
    4. Surendra Kumar & Shobha Yadav, 2021. "Infinite-delayed stochastic impulsive differential systems with Poisson jumps," Indian Journal of Pure and Applied Mathematics, Springer, vol. 52(2), pages 344-362, June.

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