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Exponential Stability of Fractional Large-Scale Neutral Stochastic Delay Systems with Fractional Brownian Motion

Author

Listed:
  • T. Sathiyaraj

    (Institute of Actuarial Science and Data Analytics, UCSI University, Kuala Lumpur 56000, Malaysia)

  • T. Ambika

    (Department of Computer Science, Rev. Jacob Memorial Christian College, Dindigul 624612, India)

  • Ong Seng Huat

    (Institute of Actuarial Science and Data Analytics, UCSI University, Kuala Lumpur 56000, Malaysia
    Institute of Mathematical Sciences, University of Malaya, Kuala Lumpur 50603, Malaysia)

Abstract

Mathematics plays an important role in many fields of finance. In particular, it presents theories and tools widely used in all areas of finance. Moreover, fractional Brownian motion (fBm) and related stochastic systems have been used to model stock prices and other phenomena in finance due to the long memory property of such systems. This manuscript provides the exponential stability of fractional-order Large-Scale neutral stochastic delay systems with fBm. Based on fractional calculus (FC), R n stochastic space and Banach fixed point theory, sufficiently useful conditions are derived for the existence of solution and exponential stability results. In this study, we tackle the nonlinear terms of the considered systems by applying local assumptions. Finally, to verify the theoretical results, a numerical simulation is provided.

Suggested Citation

  • T. Sathiyaraj & T. Ambika & Ong Seng Huat, 2023. "Exponential Stability of Fractional Large-Scale Neutral Stochastic Delay Systems with Fractional Brownian Motion," JRFM, MDPI, vol. 16(5), pages 1-15, May.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2023:i:5:p:278-:d:1151352
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    References listed on IDEAS

    as
    1. Hiroyuki Okawa, 2023. "Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics," JRFM, MDPI, vol. 16(2), pages 1-20, January.
    2. Rong, Situ, 1997. "On solutions of backward stochastic differential equations with jumps and applications," Stochastic Processes and their Applications, Elsevier, vol. 66(2), pages 209-236, March.
    3. Kyung Hwan Yun & Chenguang Hu, 2023. "Growth of Venture Firms under State Capitalism with Chinese Characteristics: Qualitative Comparative Analysis of Fuzzy Set," JRFM, MDPI, vol. 16(2), pages 1-21, February.
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