Neutral Stochastic Differential Delay Equations Research Articles

Delay feedback control of highly nonlinear neutral stochastic delay differential equations driven by G-Brownian motion

Delay feedback control of highly nonlinear neutral stochastic delay differential equations driven by G-Brownian motion

Stabilization of highly nonlinear hybrid neutral stochastic differential equations with multiple time-varying delays and different structures

In this paper, the stabilization of a class of hybrid differently structured neutral stochastic differential equations with multiple time-varying delays is taken into consideration. The coefficients of these hybrid neutral stochastic differential delay equations with Markov switching (hybrid NSDDEs) are highly nonlinear in some modes while satisfying linear growth criteria in others. To ensure the existence and uniqueness of the solution, mild conditions are first applied to the system coefficients. Second, design techniques for discrete-time feedback control for only some of the modes are offered in order to stabilize the above systems that are unstable. New M-matrix criteria that are simple to calculate and verify are also proposed for the control functions. Then, a new theory on asymptotic and exponential stabilization is developed by using the Lyapunov function technique. Finally, the results are demonstrated with an example.

On stability of numerical solutions of neutral stochastic delay differential equations with time‐dependent delay

This paper focuses on exponential stability of numerical solutions of neutral stochastic delay differential equations. A novel approach is introduced to study numerical approximation methods of neutral stochastic differential equations with time‐dependent delay. In contrast to the advances in the literature, this work provides a new method and new criteria for which the Euler‐Maruyama approximation method and the backward Euler‐Maruyama approximation method can reproduce exponential stability in mean square and almost sure exponential stability for sufficiently small step sizes. Two examples are provided to demonstrate the effectiveness of our criteria.

Exponential input-to-state stability for neutral stochastic delay differential equations with Lévy noise and Markovian switching

This paper mainly focuses on the pth ()-moment input-to-state stability (ISS) of neutral stochastic delay differential equations (NSDDEs) with Lévy noise and Markovian switching. By using the generalized integral inequality and the Lyapunov function methodology, the ISS, integral input-to-state stability (iISS), and stochastic input-to-state stability (SISS) of such equations are obtained. When the input signal is a constant signal and a zero signal, the pth ()-moment ISS reduces to the pth ()-moment practical exponential stability and the pth ()-moment exponential stability, respectively. Finally, an example of the mass–spring–damping (MSD) model under the stochastic perturbation is given to verify the validity of the results.

H∞and Asymptotic Stability via delay feedback for hybrid neutral stochastic delay differential equations with Lévy noise

AbstractThis work addresses existence and stabilization problem for a hybrid neutral stochastic delay differential equations with Lévy noise (HNSDDELN). The coefficients of such systems do not satisfy the conventional linear growth conditions, but are subject to high nonlinearity. We first prove the existence and uniqueness of the solution. We then design a delay feedback controller to make an unstable HNSDDELN $H_{\infty }$ and asymptotically stable in ${\mathbb{L}}^{p}$. We end up with a numerical example that corroborates our theoretical findings.

Exponential Stability for Neutral Stochastic Differential Delay Equations with Markovian Switching and Nonlinear Impulsive Effects

Exponential Stability for Neutral Stochastic Differential Delay Equations with Markovian Switching and Nonlinear Impulsive Effects

Explicit numerical approximations for McKean-Vlasov neutral stochastic differential delay equations

This paper studies the numerical methods to approximate the solutions for a sort of McKean-Vlasov neutral stochastic differential delay equations (MV-NSDDEs) that the growth of the drift coefficients is super-linear. First, we obtain that the solution of MV-NSDDE exists and is unique. Then, we use a stochastic particle method, which is on the basis of the results about the propagation of chaos for a stochastic particle system, to deal with the approximation of the law. Furthermore, we construct the tamed Euler-Maruyama numerical scheme with respect to the corresponding particle system and obtain the rate of convergence. Combining propagation of chaos and the convergence rate of the numerical solution to the particle system, we get the convergence error between the numerical solution and exact solution of the original MV-NSDDE in the stepsize and number of particles.

Discrete feedback control for highly nonlinear neutral stochastic delay differential equations with Markovian switching

In this article, it is proved that feedback controllers can be designed to stabilize nonlinear neutral stochastic systems with Markovian switching (NSDDEwMS in short) only by using discrete observed state sequences. Due to the superlinear coefficients, the neutral term and the discrete observation data, many routine methods and techniques for the study of stochastic systems are not applicable. A new Lyapunov functional is constructed by using multiple M-matrices to prove that a given unstable NSDDEwMS can be stabilized if the control function can be designed to meet a couple of easy-to-be-verified rules. Finally, an example is given to illustrate the feasibility of the theoretical results.

Existence and uniqueness of mild solutions to neutral impulsive fractional stochastic delay differential equations driven by both Brownian motion and fractional Brownian motion

Existence and uniqueness of mild solutions to neutral impulsive fractional stochastic delay differential equations driven by both Brownian motion and fractional Brownian motion

Stability analysis of neutral stochastic delay differential equations via the vector Lyapunov function method

In this paper, we study the pth moment exponential stability (p-ES) and the almost sure exponential stability (a-ES) of neutral stochastic delay differential equations (NSDDEs). By using the vector Lyapunov function (VLF) method, we can prove that the global solution of NSDDEs exists when the linear growth condition is removed, and we also get some stability criteria for NSDDEs. In the presented stability conditions, the established L-operator differential inequality is based on the VLF and allows cross item to exist. An example is given to verify the correctness of the proposed results.

Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching

In this paper, we establish a partially truncated Euler–Maruyama scheme for highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching. We investigate the strong convergence rate and almost sure exponential stability of the numerical solutions under the generalized Khasminskii-type condition.

Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients

In this article, we propose two types of explicit tamed Euler–Maruyama (EM) schemes for neutral stochastic differential delay equations with superlinearly growing drift and diffusion coefficients. The first type is convergent in the Lq sense under the local Lipschitz plus Khasminskii-type conditions. The second type is of order half in the mean-square sense under the Khasminskii-type, global monotonicity and polynomial growth conditions. Moreover, it is proved that the partially tamed EM scheme has the property of mean-square exponential stability. Numerical examples are provided to illustrate the theoretical findings.

On exponential stability of hybrid neutral stochastic differential delay equations with different structures

This article discusses the problem of exponential stability for a class of hybrid neutral stochastic differential delay equations with highly nonlinear coefficients and different structures in different switching modes. In such systems, the coefficients will satisfy the local Lipschitz condition and suitable Khasminskii-types conditions. The set of switching states will be divided into two subsets. In different subsets, the coefficients will be dominated by polynomials with different degrees. By virtue of M-matrices and suitable Lyapunov functions dependent on coefficient structures and switching modes, some results including the existence-and-uniqueness, boundedness and exponential stability of the solution are proposed and proved.

Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation

It is generally known that explicit solution can rarely be obtained for stochastic differential equations (SDEs), not to mention the nonlinear stochastic functional differential equation (SFDEs). Therefore, this paper proposes a numerical scheme called semi-Euler numerical scheme for general SFDEs, which adapts better to the connotation of the Itô differential equations. Under a generalized polynomial growth condition, the scheme admits high nonlinearity of the system, the almost sure exponential stability of the continuous model and the numerical scheme is investigated by contrast. It is confirmed that the numerical scheme preserves the stability property of the continuous model with no restriction to the step size. Compared to the literature, the polynomial growth condition in [L. Liu, F. Deng, and T. Hou, Almost sure exponential stability of implicit numerical solution for stochastic functional differential equation with extended polynomial growth condition, Applied Mathematics and Computation. 330 (2018), pp. 201–212.], [W. Fei, L. Hu, X. Mao, and M. Shen, Delay dependent stability of highly nonlinear hybrid stochastic systems, Automatica, 82 (2017), pp. 165–170.], [M. Shen, W. Fei, X. Mao, and Y. Liang, Stability of highly nonlinear neutral stochastic differential delay equations, Systems & Control Letters, 115 (2018), pp. 1–8.], etc. is generalized to that described with Lyapunov function. Besides, to provide an approach for the solvability of the implicit scheme, the generalized monotonicity of the vectorial functions is introduced. An application is given for the scheme and the stability conclusion, by virtue of the generalized monotonicity condition, the scheme is solvable also without restriction to the step size. At the end of the paper, a high order example is proposed to illustrate the theory of this paper, and a further research direction from this work is pointed out.

Periodic Averaging Principle for Neutral Stochastic Delay Differential Equations with Impulses

In this paper, we study the periodic averaging principle for neutral stochastic delay differential equations with impulses under non-Lipschitz condition. By using the linear operator theory, we deal with the difficulty brought by delay term of the neutral system and obtain the conclusion that the solutions of neutral stochastic delay differential equations with impulses converge to the solutions of the corresponding averaged stochastic delay differential equations without impulses in the sense of mean square and in probability. At last, an example is presented to show the validity of the proposed theories.

Convergence Rate of the Truncated Euler-Maruyama Method for Neutral Stochastic Differential Delay Equations with Markovian Switching

Convergence Rate of the Truncated Euler-Maruyama Method for Neutral Stochastic Differential Delay Equations with Markovian Switching

Averaging Method for Neutral Stochastic Delay Differential Equations Driven by Fractional Brownian Motion

In this paper, we investigate the stochastic averaging method for neutral stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H∈1/2,1. By using the linear operator theory and the pathwise approach, we show that the solutions of neutral stochastic delay differential equations converge to the solutions of the corresponding averaged stochastic delay differential equations. At last, an example is provided to illustrate the applications of the proposed results.

Exponential stability of neutral stochastic delay differential equation with delay-dependent impulses

In this paper, we mainly consider exponential stability (ES) for a type of neutral stochastic delay differential equations with delay-dependent impulses (NSDDEWDI). By means of the average dwell time (ADT) condition, a new sufficient criterion for ES is given. The infinitesimal operator of Lyapunov functions is controlled by two time-variant coefficients. Furthermore, these new conditions are calculated through an example so as to verify the validity of our results.

Stability analysis of neutral stochastic differential delay equations driven by Lévy noises

This paper mainly analyzes the well-posedness, and the stability analysis for the global solution of neutral stochastic differential delay equations (NSDDEs) driven by Lévy noises. By using an integral lemma and a Lyapunov function approach, the existence and uniqueness theorem is proved. Then, by using the inequality technique and the stochastic analysis theory, the exponential stability in pth(p ≥ 2) moment of such equations is discussed. By using another integral lemma, and using the Baralat lemma as well as the stochastic analysis, the almost surely asymptotic stability is also studied. Finally, one example is given to check the effectiveness of the findings derived.

Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients

This paper is concerned with strong convergence and almost sure convergence for neutral stochastic differential delay equations under non-globally Lipschitz continuous coefficients. Convergence rates of [Formula: see text]-EM schemes are given for these equations driven by Brownian motion and pure jumps, respectively, where the drift terms satisfy locally one-sided Lipschitz conditions, and diffusion coefficients obey locally Lipschitz conditions, and the corresponding coefficients are highly nonlinear with respect to the delay terms.