Almost Sure Exponential Stability of Large-Scale Stochastic Nonlinear Systems

ABSTRACT

This contribution deals with the study of the almost sure exponential stability of large-scale stochastic systems with multiplicative noises. Under a Lipschitz-like assumption, it is proven that this stability is guaranteed if each “diagonal” subsystem is almost surely exponentially stable.     

无穷时滞脉冲方程的一致渐近稳定性

本文利用Liapunov泛函与Liapunov函数方法建立了无穷时滞脉冲泛函微分方程基于两种测度的一致稳定和一致渐近稳定的一个新的定理,并通过实例说明了所获结论的应用.     

线性随机微分方程的离散波形松弛方法的几乎必然收敛性

提出了随机微分方程的离散型波形松弛方法,证明了它是几乎必然收敛的.此外,通过数值实验验证了所得结果.     

Asymptotic Stability and Boundedness of Stochastic Differential Equations with Respect to Semimartingales

In this paper, we shall use multiple Lyapunov functions to establish some sufficient criteria for locating the limit sets of solutions of stochastic differential equations with respect to semimartingales. From them follow many useful results on stochastic asymptotic stability and boundedness, including some classical results as special cases. In particular, our new asymptotic stability criteria do not require the diffusion operator associated with the underlying stochastic differential equation be negative definite, while most of the existing results do require this negative definite property essentially.     

Attraction and Stochastic Asymptotic Stability and Boundedness of Stochastic Functional Differential Equations with Respect to Semimartingales

Abstract

In this paper, we will establish new results on the attraction for solutions to stochastic functional differential equations with respect to semimartingale. Most of the existing results stochastic stability use a single Lyapunov function, but we shall instead use multiple Lyapunov functions in the study of attraction. Moreover, from our results on the attraction follow several new criteria on almost surely asymptotic stability and boundedness of the solutions.     

随机脉冲微分方程的渐近p稳定性

本文研究的是随机脉冲微分方程的渐近p稳定性.首先给出一些预备知识,然后运用Lyapunov函数建立随机脉冲微分方程平凡解的渐近p稳定性的充分条件.     

Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

Abstract

In this article the numerical approximation of solutions of Itô stochastic delay differential equations is considered. We construct stochastic linear multi-step Maruyama methods and develop the fundamental numerical analysis concerning their 𝕃 _p -consistency, numerical 𝕃 _p -stability and 𝕃 _p -convergence. For the special case of two-step Maruyama schemes we derive conditions guaranteeing their mean-square consistency.     

Numerical Solution to Hybrid Stochastic Differential Systems

Abstract

In this article numerical methods for solving hybrid stochastic differential systems of Itô-type are developed by piecewise application of numerical methods for SDEs. We prove a convergence result if the corresponding method for SDEs is numerically stable with uniform convergence in the mean square sense. The Euler and Runge–Kutta methods for hybrid stochastic differential equations are specifically described and the order of the error is given for the Euler method. A numerical example is given to illustrate the theory.     

基于一类时滞不等式的时滞微分方程的渐近稳定性

利用Lyapunov的方法讨论了时滞微分方程x.(t)=f(t,x(t),x(t-τ(t)))的全局指数渐近稳定性和全局渐近稳定性.     

关于泛函微分方程的完全渐近稳定性定理

本文用两个李雅普诺夫V函数对泛函微分方程建立了完全渐近稳定性的一类判别定理.     

无限时滞随机泛函微分方程的Razumikhin型定理

在无限时滞的随机泛函微分方程整体解存在的前提下,建立了一般衰减稳定性的Razumikhin型定理.在此基础上,基于局部Lipschitz条件和多项式增长条件,得到了无限时滞随机泛函微分方程整体解的存在唯一性,以及具有一般衰减速率的p阶矩和几乎必然渐近稳定性定理.     

Khasminskii-Type Theorems for Stochastic Differential Delay Equations

Abstract

The classical Khasminskii theorem (see [6 Khasminskii , R. Z. 1980 . Stochastic Stability of Differential Equations . Alphen : Sijtjoff and Noordhoff (translation of the Russian edition, Moscow: Nauka 1969) .[Crossref] , [Google Scholar]]) on the nonexplosion solutions of stochastic differential equations (SDEs) is very important since it gives a powerful test for SDEs to have nonexplosion solutions without the linear growth condition. Recently, Mao [13 Mao , X. 2002 . A note on the LaSalle-type theorems for stochastic differential delay equations . J. Math. Anal. Appl. 268 : 125 – 142 . [CSA] [CROSSREF] [Crossref], [Web of Science ®] , [Google Scholar]] established a Khasminskii-type test for stochastic differential delay equations (SDDEs). However, the Mao test can not still be applied to many important SDDEs, e.g., the stochastic delay power logistic model in population dynamics. The main aim of this paper is to establish an even more general Khasminskii-type test for SDDEs that covers a wide class of highly nonlinear SDDEs. As an application, we discuss a stochastic delay Lotka-Volterra model of the food chain to which none of the existing results but our new Khasminskii-type test can be applied.     

广义的Lotka—Volterra方程的全局渐近稳定性

通过构造李亚普诺夫函数的方法,研究了广义的Lotka—Volterra时滞模型方程,而且给出了正平衡点的全局渐近稳定性的充分必要条件,同时对前人的结果进行了改进和推广．     

Stability in Terms of Two Measures for Stochastic Differential Equations with Markovian Switching

Abstract

In this paper, we investigate the stability in terms of two measures for stochastic differential equations with Markovian switching by using the method of Lyapunov functions. Our new theory can not only be used to show a given system to be stochastically stable in the classical sense, but can also be used to deal with some situations where the classical stability theory is not applicable.     

On pathwise super-exponential decay rates of solutions of scalar nonlinear stochastic differential equations

This paper studies the pathwise asymptotic stability of the zero solution of scalar stochastic differential equation of Itô type. In particular, we provide conditions for solutions to converge to zero at a given rate, which is faster than any exponential rate of decay. The results completely classify the rates of decay of many parameterised families of stochastic differential equations.     

泛函微分方程解的指数渐近稳定性与有界性

本文研究了具有有限时滞中立型泛函微分方程解的有界性问题 ,得到了方程解的指数渐近稳定性蕴涵有界解的存在性的新的结果     

On the Contractivity and Asymptotic Stability of Systems of Delay Differential Equations of Neutral Type

In this paper we investigate both the contractivity and the asymptotic stability of the solutions of linear systems of delay differential equations of neutral type (NDDEs) of the form y(t) = Ly(t) + M(t)y(t – (t)) + N(t)y(t – (t)). Asymptotic stability properties of numerical methods applied to NDDEs have been recently studied by numerous authors. In particular, most of the obtained results refer to the constant coefficient version of the previous system and are based on algebraic analysis of the associated characteristic polynomials. In this work, instead, we play on the contractivity properties of the solutions and determine sufficient conditions for the asymptotic stability of the zero solution by considering a suitable reformulation of the given system. Furthermore, a class of numerical methods preserving the above-mentioned stability properties is also presented.     

随机延迟微分方程的Milstein方法的非线性均方稳定性

本文针对一般的非线性随机延迟微分方程,证明了当系统理论解满足均方稳定性条件时,则当方程的漂移和扩散项满足一定的条件时,Milstein方法也是均方稳定的.数学实验进一步验证了我们的结论.     

A Combination of Finite Difference and Wong-Zakai Methods for Hyperbolic Stochastic Partial Differential Equations

Abstract

The present article focuses on the use of difference methods together with Wong-Zakai methods in order to approximate the solutions of stochastic hyperbolic differential equations of Itô type. We prove convergence, consistency, and stability for the schemes we use. Whereby the consistency and stability imply convergence.