Asymptotic separation between solutions of Caputo fractional stochastic differential equations

DOI10.1080/07362994.2018.1440243MaRDI QIDQ4685696zbMATH OpenOpenAlexFDO

Authors Doan Thai Dr. Son, P. T. Huong, Peter E. Kloeden, Hoang The Tuan

Publication date 9 October 2018

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.08622

zbMATH Keywords

asymptotic behaviorLyapunov exponentsfractional stochastic differential equationsexistence and uniqueness solutionscontinuous dependence on the initial conditiontemporally weighted norm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Fractional ordinary differential equations (34A08) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Asymptotic properties of solutions to ordinary differential equations (34D05)

Abstract: Using a temporally weighted norm we first establish a result on the global existence and uniqueness of solutions for Caputo fractional stochastic differential equations of order $alphain(frac12,1)$ whose coefficients satisfy a standard Lipschitz condition. For this class of systems we then show that the asymptotic distance between two distinct solutions is greater than $t^{-frac1-alpha2alpha-eps}$ as $toinfty$ for any $eps>0$. As a consequence, the mean square Lyapunov exponent of an arbitrary non-trivial solution of a bounded linear Caputo fractional stochastic differential equation is always non-negative.

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Cited in

(37)

• Euler-Maruyama scheme for Caputo stochastic fractional differential equations
• On the separation of solutions of fractional differential equations
• A variation of constant formula for Caputo fractional stochastic differential equations
• Existence and transportation inequalities for fractional stochastic differential equations
• Asymptotic separation for stochastic Volterra integral equations with doubly singular kernels
• Some existence and uniqueness results for a class of proportional Liouville-Caputo fractional stochastic differential equations
• Semi-dynamical systems generated by autonomous Caputo fractional differential equations
• Stability of conformable stochastic systems depending on a parameter
• A variation of constant formula for Caputo fractional stochastic differential equations with jump-diffusion
• The existence and averaging principle for Caputo fractional stochastic delay differential systems
• Averaging principle for a type of Caputo fractional stochastic differential equations
• A fractional Bihari inequality and some applications to fractional differential equations and stochastic equations
• A two-dimensional stochastic fractional non-local diffusion lattice model with delays
• Caratheodory's approximation for a type of Caputo fractional stochastic differential equations
• On the asymptotic behavior of solutions to time-fractional elliptic equations driven by a multiplicative white noise
• Ulam–Hyers stability of pantograph fractional stochastic differential equations
• Some types of Carathéodory scheme for Caputo stochastic fractional differential equations in \(L^p\) spaces
• Some results on proportional Caputo neutral fractional stochastic differential equations
• Euler–Maruyama methods for Caputo tempered fractional stochastic differential equations
• Sufficient conditions for existence and uniqueness of fractional stochastic delay differential equations
• Asymptotic behaviour of time fractional stochastic delay evolution equations with tempered fractional noise
• Existence, uniqueness and continuous dependence of solutions to conformable stochastic differential equations
• An averaging principle for Caputo fractional stochastic differential equations with compensated Poisson random measure
• A note on the continuity for Caputo fractional stochastic differential equations
• On the asymptotic behavior of solutions to bilinear Caputo stochastic fractional differential equations
• Itô differential representation of singular stochastic Volterra integral equations
• Well-posedness and regularity for solutions of caputo stochastic fractional differential equations in L^p spaces
• A fast Euler-Maruyama method for fractional stochastic differential equations
• Well-posedness and regularity for solutions of Caputo stochastic fractional delay differential equations
• Ulam-Hyers stability for an impulsive Caputo-Hadamard fractional neutral stochastic differential equations with infinite delay
• Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
• Ulam type stability for Caputo–Hadamard fractional functional stochastic differential equations with delay
• A novel collocation approach to solve a nonlinear stochastic differential equation of fractional order involving a constant delay
• Stability of solutions of Caputo fractional stochastic differential equations
• Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
• On the averaging principle for stochastic differential equations involving Caputo fractional derivative
• Numerical simulation of fractional-order dynamical systems in noisy environments

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