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Stability analysis of neutral stochastic differential delay equations driven by Lévy noises

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  • Wan, Fangzhe
  • Hu, Po
  • Chen, Huabin

Abstract

This paper mainly analyzes the well-posedness, and the stability analysis for the global solution of neutral stochastic differential delay equations (NSDDEs) driven by Lévy noises. By using an integral lemma and a Lyapunov function approach, the existence and uniqueness theorem is proved. Then, by using the inequality technique and the stochastic analysis theory, the exponential stability in pth(p ≥ 2) moment of such equations is discussed. By using another integral lemma, and using the Baralat lemma as well as the stochastic analysis, the almost surely asymptotic stability is also studied. Finally, one example is given to check the effectiveness of the findings derived.

Suggested Citation

  • Wan, Fangzhe & Hu, Po & Chen, Huabin, 2020. "Stability analysis of neutral stochastic differential delay equations driven by Lévy noises," Applied Mathematics and Computation, Elsevier, vol. 375(C).
    • Handle: RePEc:eee:apmaco:v:375:y:2020:i:c:s0096300320300497
    DOI: 10.1016/j.amc.2020.125080
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    References listed on IDEAS

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    1. Mao, Wei & Hu, Liangjian & Mao, Xuerong, 2015. "The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps," Applied Mathematics and Computation, Elsevier, vol. 268(C), pages 883-896.
    2. Bao, Jianhai & Hou, Zhenting & Yuan, Chenggui, 2009. "Stability in distribution of neutral stochastic differential delay equations with Markovian switching," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1663-1673, August.
    3. Mo, Haoyi & Deng, Feiqi & Zhang, Chaolong, 2017. "Exponential stability of the split-step θ-method for neutral stochastic delay differential equations with jumps," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 85-95.
    4. Haoyi Mo & Xueyan Zhao & Feiqi Deng, 2017. "Exponential mean-square stability of the θ-method for neutral stochastic delay differential equations with jumps," International Journal of Systems Science, Taylor & Francis Journals, vol. 48(3), pages 462-470, February.
    5. Mao, Xuerong & Shen, Yi & Yuan, Chenggui, 2008. "Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching," Stochastic Processes and their Applications, Elsevier, vol. 118(8), pages 1385-1406, August.
    6. Xu, Yan & He, Zhimin & Wang, Peiguang, 2015. "pth moment asymptotic stability for neutral stochastic functional differential equations with Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 594-605.
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    Cited by:

    1. Cao, Wenping & Zhu, Quanxin, 2022. "Stability of stochastic nonlinear delay systems with delayed impulses," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    2. Cao, Wenping & Zhu, Quanxin, 2021. "Stability analysis of neutral stochastic delay differential equations via the vector Lyapunov function method," Applied Mathematics and Computation, Elsevier, vol. 405(C).
    3. Caraballo, Tomás & Belfeki, Mohsen & Mchiri, Lassaad & Rhaima, Mohamed, 2021. "h-stability in pth moment of neutral pantograph stochastic differential equations with Markovian switching driven by Lévy noise," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).

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