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Lyapunov exponents of PDEs driven by fractional noise with Markovian switching

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  • Fan, Xiliang
  • Yuan, Chenggui

Abstract

In this article, we study a class of stochastic parabolic equations by fractional noise with Markovian switching. Based on the explicit representation of the strong solution given by an evolution system, we investigate the pth moment and almost surely exponential stabilities with the exponential rate function t2H.

Suggested Citation

  • Fan, Xiliang & Yuan, Chenggui, 2016. "Lyapunov exponents of PDEs driven by fractional noise with Markovian switching," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 39-50.
    • Handle: RePEc:eee:stapro:v:110:y:2016:i:c:p:39-50
    DOI: 10.1016/j.spl.2015.11.025
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    References listed on IDEAS

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    1. Mémin, Jean & Mishura, Yulia & Valkeila, Esko, 2001. "Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 197-206, January.
    2. Duncan, T.E. & Maslowski, B. & Pasik-Duncan, B., 2005. "Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise," Stochastic Processes and their Applications, Elsevier, vol. 115(8), pages 1357-1383, August.
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