On exponential stability for stochastic differential equations disturbed by G-Brownian motion

Weiyin Fei; Chen Fei

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arXiv · 1311.7311

On exponential stability for stochastic differential equations disturbed by G-Brownian motion

Weiyin Fei·Chen Fei

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Abstract

We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space $(Ω, {\cal H}, \hat{\mathbb{E}})$. Then we investigate the exponential stability of paths for a class of stochastic differential equations disturbed by a G-Brownian motion in the sense of quasi surely (q.s.). The analyses consist in G-Lyapunov function and some special inequalities. Various sufficient conditions are obtained to ensure the stability of strong solutions. In particular, by means of our results we generalize the one in the classical stochastic differential equations. Finally, an illustrative example is given.

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Weiyin Fei, Chen Fei. 2013-11-28. On exponential stability for stochastic differential equations disturbed by G-Brownian motion. https://arxiv.org/abs/1311.7311

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