Stability analysis for a class of nonlinear time-changed systems

DOI10.1080/23311835.2016.1228273MaRDI QIDQ4966808zbMATH OpenOpenAlexFDO

Authors Qiong Wu

Publication date 27 June 2019

Published in Cogent Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1602.07342

zbMATH Keywords

\(p\)th moment asymptotic stability\(p\)th moment exponential stabilityexponential sample-path stabilitytime-changed Gronwall's inequality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Control/observation systems governed by ordinary differential equations (93C15) Asymptotic stability in control theory (93D20) Exponential stability (93D23)

Abstract: This paper investigates the stability of a class of differential systems time-changed by $E_t$ which is the inverse of a $$-stable subordinator. In order to explore stability, a time-changed Gronwall's inequality and a generalized It^o formula related to both the natural time $t$ and the time-change $E_t$ are developed. For different time-changed systems, corresponding stability behaviors such as exponential sample-path stability, $p$th moment asymptotic stability and $p$th moment exponential stability are investigated. Also a connection between the stability of the time-changed system and that of its corresponding non-time-changed system is revealed.

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Cites work

• Applied Delay Differential Equations
• Calcul stochastique et problèmes de martingales
• scientific article; zbMATH DE number 1715058 (Why is no real title available?)
• scientific article; zbMATH DE number 1001723 (Why is no real title available?)
• Path properties of subdiffusion --- a martingale approach
• Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
• Stochastic stability properties of jump linear systems

Cited in

(25)

• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
• Exponential stability for time-changed stochastic differential equations
• Asymptotic stability of the time-changed stochastic delay differential equations with Markovian switching
• An averaging principle for stochastic differential delay equations driven by time-changed Lévy noise
• Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
• Polynomial stability of highly non-linear time-changed stochastic differential equations
• Razumikhin-type theorem on time-changed stochastic functional differential equations with Markovian switching
• Global attracting sets and exponential stability of stochastic functional differential equations driven by the time-changed Brownian motion
• Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
• Stability of the solution of stochastic differential equation driven by time-changed Lévy noise
• A time-changed stochastic control problem and its maximum principle maximum principle
• Almost sure exponential stability for time-changed stochastic differential equations
• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
• On the practical stability with regard to a part of the variables for distribution-dependent SDEs driven by time-changed Brownian motion
• On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions
• McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion
• \(\eta\)-stability for stochastic functional differential equation driven by time-changed Brownian motion
• Ulam-Hyers-Rassias stability for stochastic differential equations driven by the time-changed Brownian motion
• -stability for stochastic functional differential equation with Markovian switching driven by time-changed Brownian motion
• Strong convergence and Mittag-Leffler stability of stochastic theta method for time-changed stochastic differential equations
• Stability analysis of neutral stochastic differential delay equations driven by Lévy noises
• h-stability for a class of time-changed systems
• Fractional stochastic differential equations with the time-changed Brownian motion
• Viability of McKean-Vlasov stochastic differential equations driven by time-changed Brownian motion
• Option pricing model using time-changed Brownian motion: fractional neutral stochastic system's stability and T-controllability

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