Exponential stability for stochastic differential equations with respect to semimartingales (Q2639425)

Given the stochastic differential equation \[ (*)\quad dX=Ax d\mu +G(X,t)dM \] in \({\mathbb{R}}^ n\), where \(\mu\) is continuous and nondecreasing and M is a continuous local martingale with \(<M_ i,M_ j>(t)=\int^{t}_{0}K_{ij}(s)d\mu (s).\) It is proved that if G is exponentially decaying, K is bounded, \(\mu\) (t) grows within linear bounds and A is stable, then all solutions of (*) are exponentially decaying.