Stability of Hybrid SDEs Driven by fBm

Wenyi Pei; Wenyi Pei; Wenyi Pei; Zhenzhong Zhang

doi:10.3389/fphy.2021.783434

Frontiers in Physics (Nov 2021)

Stability of Hybrid SDEs Driven by fBm

Wenyi Pei,
Wenyi Pei,
Wenyi Pei,
Zhenzhong Zhang

Affiliations

Wenyi Pei: School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, China
Wenyi Pei: Collaborative Innovation Center of Statistical Data Engineering, Technology and Application, Zhejiang Gongshang University, Hangzhou, China
Wenyi Pei: College of Information Science and Technology, Donghua University, Shanghai, China
Zhenzhong Zhang: Department of Statistics, Donghua University, Shanghai, China

DOI: https://doi.org/10.3389/fphy.2021.783434
Journal volume & issue: Vol. 9

Abstract

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In this paper, the exponential stability of stochastic differential equations driven by multiplicative fractional Brownian motion (fBm) with Markovian switching is investigated. The quasi-linear cases with the Hurst parameter H ∈ (1/2, 1) and linear cases with H ∈ (0, 1/2) and H ∈ (1/2, 1) are all studied in this work. An example is presented as a demonstration.

Published in Frontiers in Physics

ISSN: 2296-424X (Online)
Publisher: Frontiers Media S.A.
Country of publisher: Switzerland
LCC subjects: Science: Physics
Website: https://www.frontiersin.org/journals/physics

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