Stability of Stochastic Delay Evolution Equations with Monotone Nonlinearity
mild solutionssample-path stabilitystochastic delay evolution equationsstochastic heat equation with delay
Partial functional-differential equations (35R10) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05) Stochastic stability in control theory (93E15)
The author considers semilinear stochastic delay evolution equations on a Hilbert space of the form \[ dX_t = [A X_t + f(t,X_t)]dt + g(t,X_{\rho(t)}) dW_t, \;t\geq 0; \quad X_t = \Psi(t),\;t \in [-h,0],\tag{1} \] where \(A\) is a closed linear operator generating a \(C_0\)-semigroup and \(W\) is a cylindrical Brownian motion on a Hilbert space. The delay function \(\rho(t):[0,\infty)\rightarrow [-h,\infty)\) is continuously differentiable and such that \(\rho(t) \leq t\) and \(\rho'(t) \geq 1\) for all \(t \in [0,\infty)\). The author proves the existence of a unique mild solution of (1) under a semi-monotonicity condition on \(f\) and a Lipschitz condition on \(g\). He then ascertains exponential stability in \(p\)th mean with respect to a solution of (1) with a particular initial function (this is more general than considering stability with respect to the zero solution of (1)). He also treats asymptotic stability of sample paths of a mild solution of (1). Finally the results are applied to an example, the stochastic heat equation with delay.
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