Stability analysis of stochastic differential equations with the use of Lyapunov functions of constant sign (Q656489)

In the first part of the paper, the author presents some selected results from his monograph [Stochastic differential equations (Russian). Minsk: BGU (2009)]. He states and develops a weak existence theorem for solutions until a blow-up time, a theorem on the dependence of the solutions on the initial conditions in a non-exploding case, a theorem on the dependence of the blow-up time on the initial conditions, and a theorem on the global asymptotic stability (in probability or in \(L^p\)) of the zero solution which uses a Lyapunov function \(V\) such that \(V(x)>0\) for \(x\neq 0\). In the second part, not assuming the above property for the Lyapunov function anymore, the author proves under new additional assumptions that the zero solution is still asymptotically stable in \(L^p\). In each case, he provides examples of equations to underscore the relevance of the new system of assumptions.