On the general decay stability of stochastic differential equations with unbounded delay (Q2890879)

Razumikhin-type theorems are proved for establishing moment stability and almost sure stability of solutions of nonlinear stochastic differential equations with unbounded delay of the form NEWLINE\[NEWLINEdx(t)= f(t,x(t), y(t))\,dt+ g(t,x(t), y(t))\,dw(t),NEWLINE\]NEWLINE where \(y(t)= x(t-\delta(t))\), \(\delta(t)\in C^1(\mathbb{R}_+, \mathbb{R}_+)\), and \(w(t)\) is an \(m\)-dimensional Brownian motion. \(M\)-matrix theory is used to develop more easily implemented versions of these theorems. Use of the theorems is demonstrated with a couple of examples.