Lyapunov functionals vs Lyapunov functions for various types of stability of hybrid stochastic differential equation (Q648005)

The present paper concerns hybrid stochastic parabolic differential equations of Itô-type \[ du = [Lu + C(\eta(t))u + \xi(t)] \, dt + \mathcal{B}(\eta(t)) u \, d\omega(t) \quad \text{in } D_T, \] \[ \alpha_0(t,x) \frac{\partial u}{\partial v} + \beta_0(t,x)u = 0 \quad \text{on } S_T, \] \[ u(0,t) = u_0 \quad \text{in } \Omega, \] where \(L\) is a uniformly elliptic operator of the form \[ Lu = A(u,\eta(t)) \frac{\partial^2 u}{\partial x^2} + B(u,\eta(t)) \frac{\partial u}{\partial x} \] and \(\eta\) is a two-state Markov chain. The objective is to apply Lyapunov-like function and functional methods coupled with partial differential inequalities in order to derive stability criteria. First, the concept of Lyapunov-like functional is used in order to develop a comparison principle, which is utilized to derive sufficient conditions for mean square stability of the solution process of the parabolic equation. Afterwards, the concept of Lyapunov-like function is applied in order to derive a comparison principle, which is used in order to establish sufficient conditions for almost sure stability of the solution process. In either case, finding the explicit form of the solution of the stochastic parabolic differential equation is not required. A comparison of both techniques concludes the paper.