A Zubov's method for stochastic differential equations (Q2433292)

Let \((\Omega,\mathcal F,\mathcal F_t,\mathbb P)\) be a fixed probability space with a right continuous increasing filtration and consider the autonomous stochastic differential equation \[ \left\{\begin{aligned} dX(t)&=b(X(t))\,dt + a(X(t))\,dW(t)\\ X(0) &= x\in\mathbb R^N, \end{aligned}\right.\tag{1} \] where \(W(t)\) is an \(M\)-dimensional Wiener process adapted to \(\mathcal F_t\) and \(b :\mathbb R^n\to \mathbb R^N\), \(\sigma:\mathbb R^N\to\mathbb R^{N\times M}\) satisfy \[ \begin{aligned} &| b(x)| + | \sigma(x)| \leq M\quad \text{for any}\;x\in\mathbb R^N,\\ &| b(x)-b(y)| +| \sigma(x)-\sigma(y)| \leq L| x - y| \quad \text{for any}\;x, y \in\mathbb R^N. \end{aligned} \] Assume that the origin is an equilibrium point for (1), i.e. \(b(0) = 0\), \(\sigma(0) = 0\) and that it is locally almost surely exponentially stable. For the solution \(X(t,x)\) of (1) set \(\mathbb C = \{x\in\mathbb R^N :\mathbb P[ \lim_{t\to+\infty} | X(t,x)| = 0] > 0\}\), the set of points \(x\) for which the probability that some trajectories \(X(t,x)\) is attracted to the origin is positive and it is called the domain of attraction of the equilibrium point. The study of the domain of attraction of an equilibrium point of a deterministic system has been one of the central topics in stability theory. A general approach to this problem was proposed by \textit{V. I. Zubov} [``Methods of A. M. Lyapunov and their application'' (1964; Zbl 0115.30204)]. Zubov's method gives a characterization of the domain of attraction by means of a Lyapunov function solving an appropriate first-order partial differential equation. The aim of this paper is to extend Zubov's method to stochastic systems. The authors are concerned with stability in probability. Following Zubov's idea, the authors show that the domain of attraction of the stochastic system coincides with the set \(\{x\in\mathbb R^N : v(x) < 1\}\), where \(v\) is a functional of the trajectories of the system. The function \(v\) is a robust Lyapunov function for the stochastic system and it can be characterized as the unique solution of a second-order partial differential equation related to the stochastic system. Since this equation is not uniformly elliptic, in general it does not admit smooth solutions. Therefore the concept of viscosity solution is used. The authors also consider the case of perturbed stochastic systems, where they assume that the perturbation does not affect the stability of the equilibrium point. In this case the authors characterize the set of points which are attracted with positive probability to the equilibrium for at least one perturbation.