American Institute of Mathematical Sciences

Advanced
November  2019, 39(11): 6467-6483. doi: 10.3934/dcds.2019280

Exponential stability of SDEs driven by fBm with Markovian switching

Litan Yan 1,2, , Wenyi Pei 1, and  Zhenzhong Zhang 2,3,,

1. 

College of Information Science and Technology, Donghua University, Shanghai 201620, China
2. 

Department of Statistics, Donghua University, Shanghai 201620, China
3. 

Institute for Nonlinear Science, Donghua University, Shanghai 201620, China

* Corresponding author: Tel: +86 021 67792412. E-mail: zzzhang@dhu.edu.cn(Z. Zhang)

Received  December 2018 Revised  May 2019 Published  August 2019

In this paper, we focus on the exponential stability of stochastic differential equations driven by fractional Brownian motion (fBm) with Hurst parameter $ H\in(1/2, 1) $. Based on the generalized Itô formula and representation of the fBm, some sufficient conditions for exponential stability of a class of SDEs with additive fractional noise are given. Besides, we present a criterion on the exponential stability for the fractional Ornstein-Uhlenbeck process with Markov switching. A numerical example is provided to illustrate our results.

Keywords: Stochastic differential equation, exponential stability, fractional Brownian motion, Markovian switching, Poisson equation.
Mathematics Subject Classification: Primary: 60H10, 60G22; Secondary: 93E15, 93C30.
Citation: Litan Yan, Wenyi Pei, Zhenzhong Zhang. Exponential stability of SDEs driven by fBm with Markovian switching. Discrete & Continuous Dynamical Systems - A, 2019, 39 (11) : 6467-6483. doi: 10.3934/dcds.2019280
References:
[1]

E. Alòs, O. Mazet and D. Nualart, Stochastic calculus with respect to Gaussian processes, Ann. Probab, 29 (2001), 766-801.  doi: 10.1214/aop/1008956692.  Google Scholar

[2]

W. J. Anderson, Continuous-Time Markov Chains: An Applications-Oriented Approach, Springer Series in Statistics: Probability and its Applications, Springer-Verlag, New York, 1991.  Google Scholar

[3]

J.-B. Bardet, H. Guérin and F. Malrieu, Long time behavior of diffusions with Markov switching, ALEA Lat. Am. J. Probab. Math. Stat, 7 (2010), 151-170.   Google Scholar

[4]

A. Berman and R. J. Plemmons, Nonnegative Matrices in the Mathematical Sciences, Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 1994. doi: 10.1137/1.9781611971262.  Google Scholar

[5]

F. Biagini, Y. Z. Hu, B. ∅ksendal and T. S. Zhang, Stochastic Calculus for Fractional Brownian Motion and Applications, Probability and its Applications (New York), Springer-Verlag London, 2008. doi: 10.1007/978-1-84628-797-8.  Google Scholar

[6]

D. C. Brody, J. Syroka and M. Zervos, Dynamical pricing of weather derivatives, Quant. Finance, 2 (2002), 189-198.  doi: 10.1088/1469-7688/2/3/302.  Google Scholar

[7]

B. Cloez and M. Hairer, Exponential ergodicity for Markov processes with random switching, Bernoulli, 21 (2015), 505-536.  doi: 10.3150/13-BEJ577.  Google Scholar

[8]

T. E. Duncan, B. Maslowski and B. Pasik-Duncan, Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise, Stochastic Process. Appl., 115 (2005), 1357-1383.  doi: 10.1016/j.spa.2005.03.011.  Google Scholar

[9]

T. E. Duncan, Y. Z. Hu and B. Pasik-Duncan, Stochastic calculus for fractional Brownian motion. I. Theory, SIAM J. Control Optim., 38 (2000), 582-612.  doi: 10.1137/S036301299834171X.  Google Scholar

[10]

T. E. Duncan, B. Pasik-Duncan and B. Maslowski, Fractional Brownian motion and stochastic equations in Hilbert spaces, Stoch. Dyn., 2 (2002), 225-250.  doi: 10.1142/S0219493702000340.  Google Scholar

[11]

M. K. Ghosh, A. Arapostahis and S. I. Marcus, Ergodic control of switching diffusions, SIAM J. Control Optim., 35 (1997), 1952-1988.  doi: 10.1137/S0363012996299302.  Google Scholar

[12]

J. D. Hamilton, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57 (1989), 357-384.  doi: 10.2307/1912559.  Google Scholar

[13]

H. Holden, B. ∅ksendal, J. Ubøe and T. S. Zhang, Stochastic Partial Differential Equations, 2nd edition, Universitext, Springer, New York, 2010. doi: 10.1007/978-0-387-89488-1.  Google Scholar

[14]

Y. Z. Hu, Itô Stochastic differential equations driven by fractional Brownian motion of Hurst parameter $H>1/2$, Stochastics, 90 (2018), 720-761.  doi: 10.1080/17442508.2017.1415342.  Google Scholar

[15]

G. Huang, H. M. Jansen, M. Mandjes, P. Spreij and K. De. Turck, Markov-modulated Ornstein-Uhlenbeck processes, Adv. in Appl. Probab., 48 (2016), 235-254.  doi: 10.1017/apr.2015.15.  Google Scholar

[16]

I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 2nd edition, Graduate Texts in Mathematics, 113. Springer, New York, 1991. doi: 10.1007/978-1-4612-0949-2.  Google Scholar

[17]

M. L. Li and F. Q. Deng, Almost sure stability with general decay rate of neutral stochasti delayed hybrid systems with Lévy noise, Nonlinear Anal. Hybrid Syst., 24 (2017), 171-185.  doi: 10.1016/j.nahs.2017.01.001.  Google Scholar

[18]

X. R. Mao, Stability of stochastic differential equations with Markovian switching, Stochastic Process. Appl., 79 (1999), 45-67.  doi: 10.1016/S0304-4149(98)00070-2.  Google Scholar

[19] X. R. Mao and C. G. Yuan, Stochastic Differential Equations with Markovian Switching, Imperial College Press, London, 2006.  doi: 10.1142/p473.  Google Scholar
[20]

J. Mémin, Y. Mishura and E. Valkeila, Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion, Statist. Probab. Lett., 51 (2001), 197-206.  doi: 10.1016/S0167-7152(00)00157-7.  Google Scholar

[21]

Y. S. Mishura, Stochastic Calculus for Fractional Brownian Motion and Related Processes, Lecture Notes in Mathematics, 1929. Springer-Verlag, Berlin, 2008. doi: 10.1007/978-3-540-75873-0.  Google Scholar

[22]

D. Nualart and A. Rășcanu, Differential equations driven by fractional Brownian motion, Collect. Math., 53 (2002), 55-81.   Google Scholar

[23]

A. Rathinasamy and M. Balachandran, Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations, Nonlinear Anal. Hybrid Syst., 2 (2008), 1256-1263.  doi: 10.1016/j.nahs.2008.09.015.  Google Scholar

[24]

S. Cong, On almost sure stability conditions of linear switching stochastic differential systems, Nonlinear Anal. Hybrid Syst., 22 (2016), 108-115.  doi: 10.1016/j.nahs.2016.03.010.  Google Scholar

[25]

I. Simonsen, Measuring anti-correlations in the Nordic electricity spot market by wavelets, Physica A: Statistical Mechanics and its Applications, 322 (2003), 597-606.  doi: 10.1016/S0378-4371(02)01938-6.  Google Scholar

[26]

A. V. Skorohod, Asymptotic Methods in the Theory of Stochastic Differential Equations, Translations of Mathematical Monographs, 78. American Mathematical Society, Providence, RI, 1989.  Google Scholar

[27]

L. Tan, Exponential stability of fractional stochastic differential equations with distributed delay, Adv. Difference Equ., 2014 (2014), 8 pp. doi: 10.1186/1687-1847-2014-321.  Google Scholar

[28]

G. G. Yin and C. Zhu, Hybrid Switching Diffusions: Properties and Applications, Stochastic Modelling and Applied Probability, 63. Springer, New York, 2010. doi: 10.1007/978-1-4419-1105-6.  Google Scholar

[29]

C. G. Yuan and X. R. Mao, Asymptotic stability in distribution of stochastic differential equations with Markovian switching, Stochastic Process. Appl., 103 (2003), 277-291.  doi: 10.1016/S0304-4149(02)00230-2.  Google Scholar

[30]

C. G. Yuan and X. R. Mao, Stability of stochastic delay hybrid systems with jumps, Eur. J. Control, 16 (2010), 595-608.  doi: 10.3166/ejc.16.595-608.  Google Scholar

[31]

Z. Z. Zhang, J. Y. Tong and L. J. Hu, Long-term behavior of stochastic interest rate models with Markov switching, Insurance Math. Econom., 70 (2016), 320-326.  doi: 10.1016/j.insmatheco.2016.06.017.  Google Scholar

[32]

W. N. Zhou, J. Yang, X. Q. Yang, A. D. Dai, H. S. Liu and J. Fang, pth Moment exponential stability of stochastic delayed hybrid systems with Lévy noise, Appl. Math. Model., 39 (2015), 5650-5658.  doi: 10.1016/j.apm.2015.01.025.  Google Scholar

show all references

References:
[1]

E. Alòs, O. Mazet and D. Nualart, Stochastic calculus with respect to Gaussian processes, Ann. Probab, 29 (2001), 766-801.  doi: 10.1214/aop/1008956692.  Google Scholar

[2]

W. J. Anderson, Continuous-Time Markov Chains: An Applications-Oriented Approach, Springer Series in Statistics: Probability and its Applications, Springer-Verlag, New York, 1991.  Google Scholar

[3]

J.-B. Bardet, H. Guérin and F. Malrieu, Long time behavior of diffusions with Markov switching, ALEA Lat. Am. J. Probab. Math. Stat, 7 (2010), 151-170.   Google Scholar

[4]

A. Berman and R. J. Plemmons, Nonnegative Matrices in the Mathematical Sciences, Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 1994. doi: 10.1137/1.9781611971262.  Google Scholar

[5]

F. Biagini, Y. Z. Hu, B. ∅ksendal and T. S. Zhang, Stochastic Calculus for Fractional Brownian Motion and Applications, Probability and its Applications (New York), Springer-Verlag London, 2008. doi: 10.1007/978-1-84628-797-8.  Google Scholar

[6]

D. C. Brody, J. Syroka and M. Zervos, Dynamical pricing of weather derivatives, Quant. Finance, 2 (2002), 189-198.  doi: 10.1088/1469-7688/2/3/302.  Google Scholar

[7]

B. Cloez and M. Hairer, Exponential ergodicity for Markov processes with random switching, Bernoulli, 21 (2015), 505-536.  doi: 10.3150/13-BEJ577.  Google Scholar

[8]

T. E. Duncan, B. Maslowski and B. Pasik-Duncan, Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise, Stochastic Process. Appl., 115 (2005), 1357-1383.  doi: 10.1016/j.spa.2005.03.011.  Google Scholar

[9]

T. E. Duncan, Y. Z. Hu and B. Pasik-Duncan, Stochastic calculus for fractional Brownian motion. I. Theory, SIAM J. Control Optim., 38 (2000), 582-612.  doi: 10.1137/S036301299834171X.  Google Scholar

[10]

T. E. Duncan, B. Pasik-Duncan and B. Maslowski, Fractional Brownian motion and stochastic equations in Hilbert spaces, Stoch. Dyn., 2 (2002), 225-250.  doi: 10.1142/S0219493702000340.  Google Scholar

[11]

M. K. Ghosh, A. Arapostahis and S. I. Marcus, Ergodic control of switching diffusions, SIAM J. Control Optim., 35 (1997), 1952-1988.  doi: 10.1137/S0363012996299302.  Google Scholar

[12]

J. D. Hamilton, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57 (1989), 357-384.  doi: 10.2307/1912559.  Google Scholar

[13]

H. Holden, B. ∅ksendal, J. Ubøe and T. S. Zhang, Stochastic Partial Differential Equations, 2nd edition, Universitext, Springer, New York, 2010. doi: 10.1007/978-0-387-89488-1.  Google Scholar

[14]

Y. Z. Hu, Itô Stochastic differential equations driven by fractional Brownian motion of Hurst parameter $H>1/2$, Stochastics, 90 (2018), 720-761.  doi: 10.1080/17442508.2017.1415342.  Google Scholar

[15]

G. Huang, H. M. Jansen, M. Mandjes, P. Spreij and K. De. Turck, Markov-modulated Ornstein-Uhlenbeck processes, Adv. in Appl. Probab., 48 (2016), 235-254.  doi: 10.1017/apr.2015.15.  Google Scholar

[16]

I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 2nd edition, Graduate Texts in Mathematics, 113. Springer, New York, 1991. doi: 10.1007/978-1-4612-0949-2.  Google Scholar

[17]

M. L. Li and F. Q. Deng, Almost sure stability with general decay rate of neutral stochasti delayed hybrid systems with Lévy noise, Nonlinear Anal. Hybrid Syst., 24 (2017), 171-185.  doi: 10.1016/j.nahs.2017.01.001.  Google Scholar

[18]

X. R. Mao, Stability of stochastic differential equations with Markovian switching, Stochastic Process. Appl., 79 (1999), 45-67.  doi: 10.1016/S0304-4149(98)00070-2.  Google Scholar

[19] X. R. Mao and C. G. Yuan, Stochastic Differential Equations with Markovian Switching, Imperial College Press, London, 2006.  doi: 10.1142/p473.  Google Scholar
[20]

J. Mémin, Y. Mishura and E. Valkeila, Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion, Statist. Probab. Lett., 51 (2001), 197-206.  doi: 10.1016/S0167-7152(00)00157-7.  Google Scholar

[21]

Y. S. Mishura, Stochastic Calculus for Fractional Brownian Motion and Related Processes, Lecture Notes in Mathematics, 1929. Springer-Verlag, Berlin, 2008. doi: 10.1007/978-3-540-75873-0.  Google Scholar

[22]

D. Nualart and A. Rășcanu, Differential equations driven by fractional Brownian motion, Collect. Math., 53 (2002), 55-81.   Google Scholar

[23]

A. Rathinasamy and M. Balachandran, Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations, Nonlinear Anal. Hybrid Syst., 2 (2008), 1256-1263.  doi: 10.1016/j.nahs.2008.09.015.  Google Scholar

[24]

S. Cong, On almost sure stability conditions of linear switching stochastic differential systems, Nonlinear Anal. Hybrid Syst., 22 (2016), 108-115.  doi: 10.1016/j.nahs.2016.03.010.  Google Scholar

[25]

I. Simonsen, Measuring anti-correlations in the Nordic electricity spot market by wavelets, Physica A: Statistical Mechanics and its Applications, 322 (2003), 597-606.  doi: 10.1016/S0378-4371(02)01938-6.  Google Scholar

[26]

A. V. Skorohod, Asymptotic Methods in the Theory of Stochastic Differential Equations, Translations of Mathematical Monographs, 78. American Mathematical Society, Providence, RI, 1989.  Google Scholar

[27]

L. Tan, Exponential stability of fractional stochastic differential equations with distributed delay, Adv. Difference Equ., 2014 (2014), 8 pp. doi: 10.1186/1687-1847-2014-321.  Google Scholar

[28]

G. G. Yin and C. Zhu, Hybrid Switching Diffusions: Properties and Applications, Stochastic Modelling and Applied Probability, 63. Springer, New York, 2010. doi: 10.1007/978-1-4419-1105-6.  Google Scholar

[29]

C. G. Yuan and X. R. Mao, Asymptotic stability in distribution of stochastic differential equations with Markovian switching, Stochastic Process. Appl., 103 (2003), 277-291.  doi: 10.1016/S0304-4149(02)00230-2.  Google Scholar

[30]

C. G. Yuan and X. R. Mao, Stability of stochastic delay hybrid systems with jumps, Eur. J. Control, 16 (2010), 595-608.  doi: 10.3166/ejc.16.595-608.  Google Scholar

[31]

Z. Z. Zhang, J. Y. Tong and L. J. Hu, Long-term behavior of stochastic interest rate models with Markov switching, Insurance Math. Econom., 70 (2016), 320-326.  doi: 10.1016/j.insmatheco.2016.06.017.  Google Scholar

[32]

W. N. Zhou, J. Yang, X. Q. Yang, A. D. Dai, H. S. Liu and J. Fang, pth Moment exponential stability of stochastic delayed hybrid systems with Lévy noise, Appl. Math. Model., 39 (2015), 5650-5658.  doi: 10.1016/j.apm.2015.01.025.  Google Scholar

Figure 1.  A single path of solution
Figure Options

Download full-size image

Download as PowerPoint slide

Figure 2.  Norm square trajectory
Figure Options

Download full-size image

Download as PowerPoint slide

[1]

Litan Yan, Xiuwei Yin. Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2019, 24 (2) : 615-635. doi: 10.3934/dcdsb.2018199
[2]

Guolian Wang, Boling Guo. Stochastic Korteweg-de Vries equation driven by fractional Brownian motion. Discrete & Continuous Dynamical Systems - A, 2015, 35 (11) : 5255-5272. doi: 10.3934/dcds.2015.35.5255
[3]

Defei Zhang, Ping He. Functional solution about stochastic differential equation driven by $G$-Brownian motion. Discrete & Continuous Dynamical Systems - B, 2015, 20 (1) : 281-293. doi: 10.3934/dcdsb.2015.20.281
[4]

Yong Ren, Xuejuan Jia, Lanying Hu. Exponential stability of solutions to impulsive stochastic differential equations driven by $G$-Brownian motion. Discrete & Continuous Dynamical Systems - B, 2015, 20 (7) : 2157-2169. doi: 10.3934/dcdsb.2015.20.2157
[5]

Yaozhong Hu, David Nualart, Xiaobin Sun, Yingchao Xie. Smoothness of density for stochastic differential equations with Markovian switching. Discrete & Continuous Dynamical Systems - B, 2019, 24 (8) : 3615-3631. doi: 10.3934/dcdsb.2018307
[6]

Yi Zhang, Yuyun Zhao, Tao Xu, Xin Liu. $p$th Moment absolute exponential stability of stochastic control system with Markovian switching. Journal of Industrial & Management Optimization, 2016, 12 (2) : 471-486. doi: 10.3934/jimo.2016.12.471
[7]

Shaokuan Chen, Shanjian Tang. Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process. Mathematical Control & Related Fields, 2015, 5 (3) : 401-434. doi: 10.3934/mcrf.2015.5.401
[8]

Yong Ren, Huijin Yang, Wensheng Yin. Weighted exponential stability of stochastic coupled systems on networks with delay driven by $ G $-Brownian motion. Discrete & Continuous Dynamical Systems - B, 2019, 24 (7) : 3379-3393. doi: 10.3934/dcdsb.2018325
[9]

María J. Garrido–Atienza, Kening Lu, Björn Schmalfuss. Random dynamical systems for stochastic partial differential equations driven by a fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2010, 14 (2) : 473-493. doi: 10.3934/dcdsb.2010.14.473
[10]

Ahmed Boudaoui, Tomás Caraballo, Abdelghani Ouahab. Stochastic differential equations with non-instantaneous impulses driven by a fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2017, 22 (7) : 2521-2541. doi: 10.3934/dcdsb.2017084
[11]

Bin Pei, Yong Xu, Yuzhen Bai. Convergence of p-th mean in an averaging principle for stochastic partial differential equations driven by fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2020, 25 (3) : 1141-1158. doi: 10.3934/dcdsb.2019213
[12]

Fuke Wu, George Yin, Le Yi Wang. Razumikhin-type theorems on moment exponential stability of functional differential equations involving two-time-scale Markovian switching. Mathematical Control & Related Fields, 2015, 5 (3) : 697-719. doi: 10.3934/mcrf.2015.5.697
[13]

Yong Xu, Rong Guo, Di Liu, Huiqing Zhang, Jinqiao Duan. Stochastic averaging principle for dynamical systems with fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2014, 19 (4) : 1197-1212. doi: 10.3934/dcdsb.2014.19.1197
[14]

Yong Xu, Bin Pei, Rong Guo. Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2015, 20 (7) : 2257-2267. doi: 10.3934/dcdsb.2015.20.2257
[15]

Michael Scheutzow. Exponential growth rate for a singular linear stochastic delay differential equation. Discrete & Continuous Dynamical Systems - B, 2013, 18 (6) : 1683-1696. doi: 10.3934/dcdsb.2013.18.1683
[16]

Yong Ren, Wensheng Yin, Dongjin Zhu. Exponential stability of SDEs driven by $G$-Brownian motion with delayed impulsive effects: average impulsive interval approach. Discrete & Continuous Dynamical Systems - B, 2018, 23 (8) : 3347-3360. doi: 10.3934/dcdsb.2018248
[17]

Jin Li, Jianhua Huang. Dynamics of a 2D Stochastic non-Newtonian fluid driven by fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2012, 17 (7) : 2483-2508. doi: 10.3934/dcdsb.2012.17.2483
[18]

John A. D. Appleby, John A. Daniels. Exponential growth in the solution of an affine stochastic differential equation with an average functional and financial market bubbles. Conference Publications, 2011, 2011 (Special) : 91-101. doi: 10.3934/proc.2011.2011.91
[19]

Tyrone E. Duncan. Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions. Discrete & Continuous Dynamical Systems - A, 2015, 35 (11) : 5435-5445. doi: 10.3934/dcds.2015.35.5435
[20]

Tomás Caraballo, José Real, T. Taniguchi. The exponential stability of neutral stochastic delay partial differential equations. Discrete & Continuous Dynamical Systems - A, 2007, 18 (2&3) : 295-313. doi: 10.3934/dcds.2007.18.295

2018 Impact Factor: 1.143

Tools

Metrics

  • PDF downloads (114)
  • HTML views (117)
  • Cited by (0)

Other articles
by authors

[Back to Top]

Copyright © 2020 American Institute of Mathematical Sciences