The Exponential Behaviour of Nonlinear Stochastic Functional Equations of Second Order in Time (Q4451792)

The authors consider stochastic delay evolution equations of second order in time of the form \[ u'(t) = v(t), \quad t\in [0,T],\tag{1} \] and \[ v(t) = \int_0^t A(s)u(s) ds + \int_0^t B(s,v(s)) ds = v_0 + \int_0^t F(s,u_s,v_s) ds +\int_0^t G(s,u_s,v_s) dW(s) \] for \(t\geq 0\) and \(u(0) = u_0\), \(u(t)=\varphi_1(t)\), \(v(t)= \varphi_2(t)\) for \(t \in (-h,0)\). Here \(W\) is a real-valued Wiener process and \(A\), \(B\), etc. are appropriate operators. A special case is given by \[ \frac{\partial^2 u}{\partial t^2}-a^2\frac{\partial^2 u}{\partial x^2}+\theta \frac{\partial u}{\partial t} =\sigma \frac{\partial u(t-\tau(t))}{\partial x}\frac{d W(t)}{d t}\tag{2} \] in \((0,+\infty)\times(0,1)\), where \(u(t,0)=u(t,1)=0\) for \(t\in (0,+\infty)\), \(u(0,x)=u_0\), \( \frac{\partial u}{\partial t}(0,x)= v_0(x)\) in \((0,1)\) and \(u(t)=\varphi_1(t)\), \( \frac{\partial u}{\partial t}= \varphi_2(t)\) for \(t \in [-h,0]\). This problem can be viewed as a model of the lateral displacement \(u\) of a vibrating string where one assumes that the string is subject to some random external force that depends on the past of the state. The authors investigate the exponential stability of the zero solution of system (1). In particular they consider exponential stability in mean-square, such that for the solution \((u,v)\) of (1) one has \[ E(| v(t)| ^2 + \| u(t)\| ^2) \leq K_1 (E| v_0| ^2 + E \| u_0\| ^2 + | \varphi_2| ^2_{I_H^2} + \| \varphi_1\| ^2_{I_V^2}) e^{-mt}\tag{3} \] and they provide sufficient conditions for (3) to hold. The proof starts with applying the Itô formula to the process \(e^{mt}| v(t)| ^2 + e^{mt}\langle A(t)u(t),u(t)\rangle\) and then proceeds with estimating the resulting terms. Further they conclude pathwise exponential stability from exponential stability in mean-square via a technique employing the Burkholder-Davis-Gundy and the Doob inequality and the Borel-Cantelli lemma. The discussion of several examples, among them (2), concludes the article.