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

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  • Hong, Phan Thanh
  • Binh, Cao Tan

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.

Suggested Citation

  • Hong, Phan Thanh & Binh, Cao Tan, 2018. "A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index >12," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 127-136.
    • Handle: RePEc:eee:stapro:v:138:y:2018:i:c:p:127-136
    DOI: 10.1016/j.spl.2018.02.064
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    Cited by:

    1. Xu, Xiao & Wang, Li & Du, Zhenbin & Kao, Yonggui, 2023. "H∞ Sampled-Data Control for Uncertain Fuzzy Systems under Markovian Jump and FBm," Applied Mathematics and Computation, Elsevier, vol. 451(C).

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