Asymptotic separation between solutions of Caputo fractional stochastic differential equations

DOI10.1080/07362994.2018.1440243zbMATH Open1401.26009arXiv1711.08622OpenAlexW2770290312MaRDI QIDQ4685696FDOQ4685696

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)

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.

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

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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)

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Cited In (37)

• 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
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• A fractional Bihari inequality and some applications to fractional differential equations and stochastic equations
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• 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
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• 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
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• A note on the continuity for Caputo fractional stochastic differential equations
• On the asymptotic behavior of solutions to bilinear Caputo stochastic fractional differential equations
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• Itô differential representation of singular stochastic Volterra integral equations
• A fast Euler-Maruyama method for fractional stochastic differential equations
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