Stability of linear impulsive Itô differential equations with bounded delays
A linear impulsive system of Itô differential equations \[ dx(t)=\sum_{j=0}^{m_1}A_{1j}(t)x(h_{1j}(t))\,dt+\sum_{i=2}^m\sum_{j=0}^{m_i}A_{ij}(t)x(h_{ij}(t))\,dB_i(t) \] \[ x=\varphi\quad\text{on}\quad(-\infty,0),\qquad x(\mu_j)=A_jx(\mu_j-0),\quad j\in\mathbb N \] is considered. Here \(A_j\neq 0\), \(0=\mu_0<\mu_1<\mu_2<\dots\uparrow\infty\), \(B_i\) are independent Wiener processes, \(\varphi\) is independent of \((B_2,\dots,B_m)\) and has essentially bounded trajectories, \(A_{ij}\) are \((n\times n)\)-matrix-valued progressively measurable processes, \(A_{1j}\) are dominated by a locally integrable deterministic function, \(A_{ij}\), \(i\geq 2\) are dominated by a locally square integrable deterministic function and \(h_{ij}\) are measurable functions satisfying \(0\leq t-h_{ij}(t)\leq C\) a.e. on \(\mathbb R_+\). It is known that given an \(\mathcal F_0\)-measurable random variable \(x(0)\) and a process \(\varphi\) with the properties assumed above, there exists a solution \(x(\cdot,x(0),\varphi)\). The authors provide various sufficient conditions on the parameters of the equation that yield exponential \(p\)-stability of the trivial solution \(x\equiv 0\) with respect to the initial function for \(p\in[2,\infty)\), i.e. that \[ \mathbb E\,|x(t,x(0),\varphi)|^p\leq ce^{-\beta t}[\mathbb E\,|x(0)|^p+\text{vrai sup}_{\nu<0}\mathbb E\,|\varphi(\nu)|^p] \] holds for some positive constants \(c\) and \(\beta\).
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