Mean square asymptotic stability characterisation of perturbed linear stochastic functional differential equations

DOI10.1016/J.APNUM.2023.07.005arXiv2304.08161MaRDI QIDQ6433342FDOQ6433342

Publication date: 17 April 2023

Abstract: In this paper we investigate the mean square asymptotic stability of a perturbed scalar linear stochastic functional differential equation. Specifically, we are able to give necessary and sufficient conditions on the forcing terms for convergence of the mean square, exponential convergence of the mean square, and integrability of the mean square of solutions. It is also essential that the underlying unperturbed SFDE is mean square asymptotically stable for these results to hold.

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Functional-differential equations (including equations with delayed, advanced or state-dependent argument) (34Kxx) Ordinary differential equations (34-XX)

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