Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations (Q2566265)

The stability of solutions of stochastic differential equations with delay is investigated. A Halanay-type inequality for deterministic differential equations is given and applied to the global exponential stability in the \(p\)-th mean of stochastic delay differential equations. Then a discrete analogue of the Halanay theory is introduced to develop a \(p\)-th mean stability analysis of stochastic delay difference equations. Finally these results are used to obtain mean-square stability conditions for solutions and numerical Euler-Maruyama approximations of a constant-coefficient linear test equation.