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Exponential stability in mean square for stochastic differential equations 

Author: Xuerong Mao a
Affiliation:   a Mathematics lnstitute, University of Warwick, Coventry, England, U.K
DOI: 10.1080/07362999008809200
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 8, Issue 1 1990 , pages 91 - 103
Formats available: PDF (English)
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Abstract

In this paper we will consider the exponential stability in mean square for the following delay stochastic differential equation

./LSAA_A_8809200_O_XML_IMAGES/LSAA_A_8809200_O_M0001.gif 

which might be regarded as a stochastic perturbed system of the equation

./LSAA_A_8809200_O_XML_IMAGES/LSAA_A_8809200_O_M0002.gif 

The purpose of this paper is to prove that if Eq.(2) is exponentially stable, then Eq.(l) is also exponentially stable in mean square provided τ is small enough. Wealso give an estimate for τ.
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