Asymptotic stability in the pth moment for stochastic differential equations with Levy noise

作者：Zhu, Quanxin^*

来源：Journal of Mathematical Analysis and Applications, 2014, 416(1): 126-142.

DOI：10.1016/j.jmaa.2014.02.016

• Stochastic differential equation
• Asymptotic stability in the pth moment
• Levy noise
• Almost sure stability
• Continuous in probability
• Continuous in the pth moment

This paper is devoted to study a class of stochastic differential equations with Levy noise. In comparison to the standard Gaussian noise, Levy noise is more versatile and interesting with a wider range of applications. However, Levy noise makes the analysis more difficult owing to the discontinuity of its sample paths. In this paper, we attempt to overcome this difficulty. We propose several sufficient conditions under which we investigate the long-time behavior of the solution including the asymptotic stability in the pth moment and almost sure stability. Also, we discuss two types of continuity of the solution: continuous in probability and continuous in the pth moment. Finally, we provide two examples to illustrate the effectiveness of the theoretical results.

• 出版日期2014-8-1
• 单位南京师范大学