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 behaviorcontinuous dependence on the initial conditionexistence and uniqueness solutionsfractional stochastic differential equationsLyapunov exponentstemporally weighted norm

Mathematics Subject Classification ID

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) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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

(43)

• Numerical simulation of fractional-order dynamical systems in noisy environments
• A variation of constant formula for Caputo fractional stochastic differential equations
• On the asymptotic behavior of solutions to time-fractional elliptic equations driven by a multiplicative white noise
• Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
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• Caratheodory's approximation for a type of Caputo fractional stochastic differential equations
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• -scheme for solving Caputo fractional differential equations
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