Mean square characterisation of a stochastic Volterra integrodifferential equation with delay

DOI10.1504/IJDSDE.2021.117374MaRDI QIDQ2113747zbMATH OpenOpenAlexWikidataFDO

Authors John A. D. Appleby

Publication date 14 March 2022

Published in International Journal of Dynamical Systems and Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/ijdsde.2021.117374

zbMATH Keywords

characteristic equationcharacteristic exponentexponential stabilitymean square stabilityrenewal equationstochastic functional differential equationsstochastic Volterra equationvariation of constants formula

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Asymptotics of solutions to integral equations (45M05) Random integral equations (45R05)

Review text

Summary: In this paper the asymptotic behaviour of the mean square of the solution of a linear stochastic Volterra integro-differential equation with delay is entirely characterised. In the case when the solution is mean-square asymptotically stable or unstable the exact rate of growth or decay can be determined by the real solution of a transcendental equation which is constructed as a by-product of the proof. The proof of the mean square stability of an equation with fading memory is also sketched.

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Cited in

(5)

• Mean square stability of stochastic Volterra integro-differential equations
• Asymptotic stability analysis of a stochastic Volterra integro-differential equation with fading memory
• STABILITY OF STOCHASTIC SYSTEMS WITH MEMORY
• On the dynamics and asymptotic behaviour of the mean square of scalar linear stochastic difference equations
• Solution space characterisation of perturbed linear discrete and continuous stochastic Volterra convolution equations: the ^p and L^p cases

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