Under linear expectation (or classical probability), the stability for stochastic differential delay equations (SDDEs), where their coefficients are either linear or nonlinear but bounded by linear functions, has been...Under linear expectation (or classical probability), the stability for stochastic differential delay equations (SDDEs), where their coefficients are either linear or nonlinear but bounded by linear functions, has been investigated intensively. Recently, the stability of highly nonlinear hybrid stochastic differential equations is studied by some researchers. In this paper, by using Peng’s G-expectation theory, we first prove the existence and uniqueness of solutions to SDDEs driven by G-Brownian motion (G-SDDEs) under local Lipschitz and linear growth conditions. Then the second kind of stability and the dependence of the solutions to G-SDDEs are studied. Finally, we explore the stability and boundedness of highly nonlinear G-SDDEs.展开更多
Let Z=(Zt)t≥0 be a Bessel process of dimension δ (δ>0) starting at zero and let K(t) be a differentiable function on [0, ∞) with K(t)>0 (?t≥0). Then we establish the relationship between Lp-norm of log1/2(1...Let Z=(Zt)t≥0 be a Bessel process of dimension δ (δ>0) starting at zero and let K(t) be a differentiable function on [0, ∞) with K(t)>0 (?t≥0). Then we establish the relationship between Lp-norm of log1/2(1+δJτ) and Lp-norm of sup Zt[t+k(t)]–1/2 (0≤t≤τ) for all stopping times τ and all 0<p<+∞. As an interesting example, we show that ||log1/2(1+δLm+1(τ))||p and ||supZt∏[1+Lj(t)]–1/2||p (0≤j≤m, j∈Z; 0≤t≤τ) are equivalent with 0<p<+∞ for all stopping times τ and all integer numbers m, where the function Lm(t) (t≥0) is inductively defined by Lm+1(t)=log[1+Lm(t)] with L0(t)=1.展开更多
基金Supported by the National Natural Science Foundation of China(71571001)
文摘Under linear expectation (or classical probability), the stability for stochastic differential delay equations (SDDEs), where their coefficients are either linear or nonlinear but bounded by linear functions, has been investigated intensively. Recently, the stability of highly nonlinear hybrid stochastic differential equations is studied by some researchers. In this paper, by using Peng’s G-expectation theory, we first prove the existence and uniqueness of solutions to SDDEs driven by G-Brownian motion (G-SDDEs) under local Lipschitz and linear growth conditions. Then the second kind of stability and the dependence of the solutions to G-SDDEs are studied. Finally, we explore the stability and boundedness of highly nonlinear G-SDDEs.
基金Project supported by the National Natural Science Foundation of China (No. 10571025) and the Key Project of Chinese Ministry of Education (No. 106076)
文摘Let Z=(Zt)t≥0 be a Bessel process of dimension δ (δ>0) starting at zero and let K(t) be a differentiable function on [0, ∞) with K(t)>0 (?t≥0). Then we establish the relationship between Lp-norm of log1/2(1+δJτ) and Lp-norm of sup Zt[t+k(t)]–1/2 (0≤t≤τ) for all stopping times τ and all 0<p<+∞. As an interesting example, we show that ||log1/2(1+δLm+1(τ))||p and ||supZt∏[1+Lj(t)]–1/2||p (0≤j≤m, j∈Z; 0≤t≤τ) are equivalent with 0<p<+∞ for all stopping times τ and all integer numbers m, where the function Lm(t) (t≥0) is inductively defined by Lm+1(t)=log[1+Lm(t)] with L0(t)=1.
