Moment decay rates of solutions of stochastic differential equations (Q5937395): Difference between revisions

Studying the asymptotic stability of the \(p^{\text{th}}\) moments of the solutions of time-inhomogeneous \(n\)-dimensional stochastic differential equations without or with finite delay, the authors consider general decay functions \(\lambda(t)\) rather than only exponential decay. With the help of Lyapunov functions they establish sufficient conditions for the solution to behave like \({\mathbb E}|X_t|^p \leq C \lambda(t)^{-\gamma}\), \(\lambda(t)\) known, \(\gamma > 0\) known. One-dimensional examples for polynomial and logarithmic decay are given.