pth moment and almost sure exponential stability of impulsive neutral stochastic functional differential equations with Markovian switching

In this paper, the problems on the pth moment and the almost sure exponential stability for a class of impulsive neutral stochastic functional differential equations with Markovian switching are investigated. By using the Lyapunov function, the Razumikhin-type theorem and the stochastic analysis, some new conditions about the pth moment exponential stability are first obtained. Then, by using the Borel–Cantelli lemma, the almost sure exponential stability is also discussed. The results generalise and improve some results obtained in the existing literature. Finally, two examples are given to illustrate the obtained results.     

Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations

In this paper, we investigate the almost sure and mean square exponential stability of the Euler method and the backward Euler method for neutral stochastic functional differential equations (NSFDEs). Moreover, the almost sure and pth moment exponential stability of exact solutions for NSFDEs are considered. It is shown that the Euler method and the backward Euler method can reproduce the property of almost sure and mean square exponential stability of exact solutions to NSFDEs under suitable conditions. Numerical examples are demonstrated to illustrate the effectiveness of our theoretical results.     

Convergence and stability of impulsive stochastic differential equations

In this paper, we consider impulsive stochastic differential equations. We show that these equations are the exponentially stable in the mean-square sense under Lipschitz conditions. We also construct the numerical method and prove the method is strongly convergent and exponentially stable in the mean-square sense. Moreover, we give some examples in order to illustrate the main results.     

Exponential stability for second-order neutral stochastic differential equations with impulses

In this paper, we investigate the problem on the exponential stability of mild solution for the second-order neutral stochastic partial differential equations with impulses by utilising the cosine function theory. A set of novel sufficient conditions is derived by establishing an impulsive integral inequality. As a final point, an example is given to illustrate the effectiveness of the obtained theory.     

Moment exponential stability of stochastic nonlinear delay systems with impulse effects at random times

In this paper, we investigate the pth moment exponential stability for a class of impulsive stochastic functional differential equations with impulses at random times. The impulsive times considered in this paper are random times that are different from those investigated in the existing literature. By using the stochastic process theory, stochastic analysis theory, Razumikhin technique, and Lyapunov method, we obtain some new criteria of the pth moment exponential stability for the related system. Finally, some examples are provided to show the effectiveness of the theoretical results.     

Further results on exponential stability of functional differential equations

General non-linear functional differential equations are considered. New explicit criteria for the exponential stability are presented. The stability criteria given in this paper include many existing results as particular cases. In particular, they unify, generalise and improve some ones published recently in [Ngoc, P. H. A. (2012). On exponential stability of non-linear differential systems with time-varying delay. Applied Mathematics Letters, 25(9), 1208–1213 and Ngoc, P. H. A. (2013b). Novel criteria for exponential stability of functional differential equations. Proceedings of the American Mathematical Society, 141(9), 3083–3091]. Two examples are given to show the effectiveness and advantage of the obtained results.     

Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations

Recently, several scholars discussed the question of under what conditions numerical solutions can reproduce exponential stability of exact solutions to stochastic delay differential equations, and some delay-independent stability criteria were obtained. This paper is concerned with delay-dependent stability of numerical solutions. Under a delay-dependent condition for the stability of the exact solution, it is proved that the backward Euler method is mean-square exponentially stable for all positive stepsizes. Numerical experiments are given to confirm the theoretical results.     

Moment exponential stability analysis of Markovian jump stochastic differential equations with uncertain transition jump rates

This paper is concerned with the moment exponential stability analysis of Markovian jump stochastic differential equations. The equations under consideration are more general, whose transition jump rates matrix Q is not precisely known. Sufficient conditions for testing the stability of such equations are established, and some numerical examples to illustrate the effectiveness of our results are presented.     

The improved stability analysis of the backward Euler method for neutral stochastic delay differential equations

The aim of this paper is to improve some results obtained in our earlier paper [Z. Yu and M. Liu, Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations, Discrete Dyn. Nat. Soc. 2011 (2011), article id 217672, 11 p., doi:10.1155/2011/217672]. In this paper, we establish an improved theorem and show that the backward Euler method can reproduce the property of almost sure and mean square exponential stability of exact solutions to neutral stochastic delay differential equations. To obtain the desired result, some new proof techniques are adopted.     

New-type stability theorem for stochastic functional differential equations with application to SFDSs with distributed delays

In this paper, a new-type stability theorem for stochastic functional differential equations (SFDEs) is established, which is not a direct copy of the basic stability theorem for deterministic functional differential equations (DFDEs). By the new-type stability theorem, one can use the most simple Lyapunov functions and employ the equations repeatedly to deal with the delayed terms encountered conveniently and to carry out stability criteria for the equations. Based on the theorem, a practical stability theorem in accordance with the Lyapunov function method is also established, and then the asymptotic stability of SFDEs with distributed delays in the diffusive terms is investigated and a stability criterion for SFDSs is obtained, which is described by algebraic matrix equations. Finally, an example is given to illustrate the effectiveness of our method and results.     

Notions of exponential robust stochastic stability,ISS and their Lyapunov characterizations

Concepts of exponential global robust stability for stochastic control systems are analysed in terms of Lyapunov functions. The main result of the paper constitutes a generalization of a converse stability theorem due to Khasminskii for stochastic differential equations and establishes that, under certain hypotheses, the origin is robustly exponentially stable in the rth mean, if and only if the system admits a Lyapunov function which is smooth except possibly at the origin. The main result concerning robust asymptotic stability enable us to derive a Lyapunov‐like characterization for the concept of stochastic input‐to‐state stability (ISS). Copyright © 2003 John Wiley & Sons, Ltd.     

Conditions for the moment stability of linear stochastic systems

Sufficient conditions for the moment stability of linear differential stochastic equations with Ornstein-Uhlenbeck parameters are obtained on the base of moment stability theory with white noise parameters.     

An analysis of the exponential stability of linear stochastic neutral delay systems

This paper is concerned with the analysis of the mean square exponential stability and the almost sure exponential stability of linear stochastic neutral delay systems. A general stability result on the mean square and almost sure exponential stability of such systems is established. Based on this stability result, the delay partitioning technique is adopted to obtain a delay‐dependent stability condition in terms of linear matrix inequalities (LMIs). In obtaining these LMIs, some basic rules of the Ito calculus are also utilized to introduce slack matrices so as to further reduce conservatism. Some numerical examples borrowed from the literature are used to show that, as the number of the partitioning intervals increases, the allowable delay determined by the proposed LMI condition approaches h_max, the maximal allowable delay for the stability of the considered system, indicating the effectiveness of the proposed stability analysis. Copyright © 2013 John Wiley & Sons, Ltd.     

Robustness of exponential stability of a class of stochastic functional differential equations with infinite delay

We regard the stochastic functional differential equation with infinite delay as the result of the effects of stochastic perturbation to the deterministic functional differential equation , where is defined by x_t(θ)=x(t+θ),θ(−∞,0]. We assume that the deterministic system with infinite delay is exponentially stable. In this paper, we shall characterize how much the stochastic perturbation can bear such that the corresponding stochastic functional differential system still remains exponentially stable.     

具有有界时滞的脉冲随机泛函微分系统的有限时间稳定

本文研究了具有有界时滞的脉冲随机泛函微分系统的有限时间稳定和有限时间渐近稳定问题. 基于Lyap-unov函数、Razumikhin技巧以及平均脉冲区间条件, 本文建立了关于该系统有限时间稳定和有限时间渐近稳定的相关性准则. 最后, 给出例子说明结论的有效性.     

具有时滞脉冲的线性随机时滞系统的均方指数稳定

本文研究了具有时滞脉冲的线性随机时滞系统的稳定性问题,基于Lyapunov函数和Razumikhin技巧,针对具有镇定型脉冲和反镇定型脉冲的线性随机时滞系统分别建立了系统均方指数稳定的充分条件,最后给出两个数值例子论证结果的有效性.     

Stochastic stability of a class of unbounded delay neutral stochastic differential equations with general decay rate

Without the linear growth condition on the drift coefficient, this article examines the existence and uniqueness of global solutions of a class of neutral stochastic differential equations with unbounded delay and their asymptotic stabilities with general decay rate. To illustrate the application of our results, this article gives a two-dimensional system as an example.     

On exponential stability of linear non-autonomous functional differential equations of neutral type

General linear non-autonomous functional differential equations of neutral type are considered. A novel approach to exponential stability of neutral functional differential equations is presented. Consequently, explicit criteria are derived for exponential stability of linear non-autonomous functional differential equations of neutral type. A brief discussion to the obtained results and illustrative examples are given.     

Stability of linear stochastic delay differential equations with infinite Markovian switchings

This paper investigates the stability of linear stochastic delay differential equations with infinite Markovian switchings. Some novel exponential stability criteria are first established based on the generalized It formula and linear matrix inequalities. Then, a new sufficient condition is proposed for the equivalence of 4 stability definitions, namely, asymptotic mean square stability, stochastic stability, exponential mean square stability with conditioning, and exponential mean square stability. In particular, our results generalize and improve some of the previous results. Finally, two examples are given to illustrate the effectiveness of the proposed results.