Neutral Stochastic Differential Equations Research Articles

Controllability Analysis of Neutral Stochastic Differential Equation Using $$\psi $$-Hilfer Fractional Derivative with Rosenblatt Process

Controllability Analysis of Neutral Stochastic Differential Equation Using $$\psi $$-Hilfer Fractional Derivative with Rosenblatt Process

Analysis of Neutral Implicit Stochastic Hilfer Fractional Differential Equation Involving Lévy Noise with Retarded and Advanced Arguments

This paper investigates the qualitative properties of the solutions for neutral implicit stochastic Hilfer fractional differential equations involving Lévy noise with retarded and advanced arguments. The existence property of the solution of the aforementioned equation is demonstrated by the Mónch condition, and the uniqueness is demonstrated by the remarkable fixed point of Banach. In addition, we examine the Hyers–Ulam (HU) stability of the presented mathematical models. To substantiate our theoretical conclusions, a real-world example is included to illustrate their practical application.

Generalized Mean Square Exponential Stability for Stochastic Functional Differential Equations

This work focuses on a class of stochastic functional differential equations and neutral stochastic differential functional equations. By using a new approach, some sufficient conditions are obtained to guarantee the generalized mean square exponential stability for the equation under consideration. Certain existing results are refined and extended. Lastly, the validity of the main results is confirmed through several simulation examples.

Strong and weak divergence of the backward Euler method for neutral stochastic differential equations with time-dependent delay

. In this article, we consider the backward Euler method for a class of neutral stochastic differential equations with time-dependent delay and reveal conditions of the divergence of the p-th absolute moments of the corresponding approximate solutions when p ∈ ( 0 , ∞ ) . This implies the strong L p -divergence of the method at finite time, for p ∈ [ 1 , + ∞ ) , and shows that its numerically weak convergence fails to hold. This article is motivated by the paper Hutzenthaler, M., Jentzen, A., Kloeden, P. E.: Strong and weak divergence in finite time of Euler’s method for stochastic differential equations with non-globally Lipschitz continuous coefficients, Proc. R. Soc. A 467 (2011), no. 2130, 1563–1576, where a class of ordinary stochastic differential equations with superlinearly growing coefficients is studied.

Stability and boundedness criteria for certain second-order nonlinear neutral stochastic functional differential equations

This paper presents stochastic stability and stochastic boundedness to certain second-order nonlinear neutral stochastic differential equations. The second-order differential equation is weakened to a neutral stochastic system of first-order equations and used together with a second-order quadratic function to obtain perfect Lyapunov-Krasovskii functional. This functional is adapted and applied to obtain criteria on the nonlinear functions to ensure novel results on stochastic stability and stochastic asymptotic stability of the zero solution. Furthermore, when the forcing term is nonzero, fresh results on stochastic boundedness and uniform stochastic boundedness of solutions are obtained. The results of this paper are original, new, essentially improving, complementing, and simplifying several related ones in the literature. Two special cases of the theoretical results are supplied to demonstrate the applicability of the hypothetical results.

Ultimate boundedness and stability of highly nonlinear neutral stochastic delay differential equations with semi-Markovian switching signals

The ultimate boundedness and stability of highly nonlinear neutral stochastic delay differential equations (NSDDEs) are investigated in this paper. Different from many previous works, the highly nonlinear NSDDEs with semi-Markov switching signals are considered for the first time in this paper. Meanwhile, the time delay function in this paper is only required to meet much more relaxed restrictions, which can invalidate plentiful methods with requirements on its derivatives for the stability of NSDDEs. To overcome this difficulty, several novel techniques to tackle NSDDEs with such a delay are developed. Furthermore, a crucial property on the ergodic semi-Markov process is established, which plays a key role in the proof on the existence and boundedness of global solution. The generalized Khasminskii-type theorems are established for the existence and uniqueness of global solution by applying new methods and this property, and the criteria for boundedness and stability are also provided. In particular, feasible measures are provided to deal with the neutral term in our stability criteria. Finally, the effectiveness is verified by a numerical example.

Convergence rate and exponential stability of backward Euler method for neutral stochastic delay differential equations under generalized monotonicity conditions

Convergence rate and exponential stability of backward Euler method for neutral stochastic delay differential equations under generalized monotonicity conditions

Exponential stability of non-instantaneous impulsive second-order fractional neutral stochastic differential equations with state-dependent delay

The aim of this manuscript mainly concerned with a new class of exponential stability for non-instantaneous impulsive second-order fractional neutral stochastic differential equations (NIIFNSDEs) with state-dependent delay driven by Poisson jump in a separable Hilbert spaces. Firstly, a more appropriate concept of mild solution is introduced. Secondly, sufficient conditions are derived for the existence of mild solution by means stochastic analysis, fractional calculus approach and Mönch fixed point theorem with appropriate hypotheses on non-linear continuous functions combined with solution operator. Finally, stability results are derived based on the pth moment exponential stable with the help of new impulsive integral inequality techniques. In addition, an example is provided to validate the theoretical results. This manuscript is the unique combination of the new theoretical investigation which is simulated numerically. Our work extends the works of Arthi et al. (2014), Das et al. (2016), Huang et al. (2018), Pandey et al. (2014), Wang et al. (2018), Yan and Jia (2016).

A Study of Some Generalized Results of Neutral Stochastic Differential Equations in the Framework of Caputo–Katugampola Fractional Derivatives

Inequalities serve as fundamental tools for analyzing various important concepts in stochastic differential problems. In this study, we present results on the existence, uniqueness, and averaging principle for fractional neutral stochastic differential equations. We utilize Jensen, Burkholder–Davis–Gundy, Grönwall–Bellman, Hölder, and Chebyshev–Markov inequalities. We generalize results in two ways: first, by extending the existing result for p=2 to results in the Lp space; second, by incorporating the Caputo–Katugampola fractional derivatives, we extend the results established with Caputo fractional derivatives. Additionally, we provide examples to enhance the understanding of the theoretical results we establish.

Boundedness and stability of nonlinear hybrid neutral stochastic delay differential equation with Lévy jumps under different structures

This paper investigates the boundedness and stability of a class of nonlinear hybrid neutral stochastic differential delay systems with Lévy jumps and different structures. The coefficients in this system satisfy the local Lipschitz condition and a suitable Khasminskii-type condition, and the state space of the system is separated into two subsets, the existence uniqueness, asymptotic boundedness, and exponential stability of the system are obtained by designing a new Lyapunov function and applying the M-matrix technique as well as dealing with the non-differentiable delay function. Different with the existing work, we not only consider the neutral term, but also the case of the delay function being bounded and non-differentiable. At last, numerical examples are performed to manifest the obtained results.

Existence, Uniqueness, and Averaging Principle of Fractional Neutral Stochastic Differential Equations in the Lp Space with the Framework of the Ψ-Caputo Derivative

In this research work, we use the concepts of contraction mapping to establish the existence and uniqueness results and also study the averaging principle in Lp space by using Jensen’s, Grönwall–Bellman’s, Hölder’s, and Burkholder–Davis–Gundy’s inequalities, and the interval translation technique for a class of fractional neutral stochastic differential equations. We establish the results within the framework of the Ψ-Caputo derivative. We generalize the two situations of p=2 and the Caputo derivative with the findings that we obtain. To help with the understanding of the theoretical results, we provide two applied examples at the end.

Controllability of semilinear noninstantaneous impulsive neutral stochastic differential equations via Atangana-Baleanu Caputo fractional derivative

This study mainly concerns the controllability of semilinear noninstantaneous impulsive neutral stochastic differential equations via the Atangana-Baleanu (AB) Caputo fractional derivative (FD). The essential findings are created using methods and concepts from semigroup theory, stochastic theory, fractional calculus, K-set contraction, and measure of noncompactness. Finally, an example is provided to demonstrate the applications of the key findings.

Exponential stability results for second-order impulsive neutral stochastic differential equations

This paper is aimed to discuss the existence and exponential stability of mild solutions for second-order impulsive neutral stochastic differential equations (INSDEs). Firstly, we derive the existence of mild solutions for INSDEs by using the Banach fixed point theorem. Then, the exponential stability in the pth moment of mild solution for the considered INSDEs is proved by means of the generalized impulsive-integral inequality, which can effectively improve some known existing ones. Finally, as an application, an example is given to illustrate the efficiency of the obtained theoretical results.

On the Averaging Principle of Caputo Type Neutral Fractional Stochastic Differential Equations

On the Averaging Principle of Caputo Type Neutral Fractional Stochastic Differential Equations

Stability results for neutral fractional stochastic differential equations

<abstract><p>Many techniques have been recently employed by researchers to address the challenges posed by fractional differential equations. In this paper, we investigate the concept of Ulam-Hyers stability for a class of neutral fractional stochastic differential equations by using the Banach fixed point theorem and the stochastic analysis techniques. An example is presented at the end of the paper to show the interest and the applicability of the results.</p></abstract>

Well-posedness and order preservation for neutral type stochastic differential equations of infinite delay with jumps

<abstract><p>In this work, we are concerned with the order preservation problem for multidimensional neutral type stochastic differential equations of infinite delay with jumps under non-Lipschitz conditions. By using a truncated Euler-Maruyama scheme and adopting an approximation argument, we have developed the well-posedness of solutions for a class of stochastic functional differential equations which allow the length of memory to be infinite, and the coefficients to be non-Lipschitz and even unbounded. Moreover, we have extended some existing conclusions on order preservation for stochastic systems to a more general case. A pair of examples have been constructed to demonstrate that the order preservation need not hold whenever the diffusion term contains a delay term, although the jump-diffusion coefficient could contain a delay term.</p></abstract>

Some results on proportional Caputo neutral fractional stochastic differential equations

Some results on proportional Caputo neutral fractional stochastic differential equations

The analysis of fractional neutral stochastic differential equations in <inline-formula id="math-09-07-845-M1"><inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="math-09-07-845-M1.jpg"/></inline-formula> space

<abstract><p>After extensive examination, scholars have determined that many dynamic systems exhibit intricate connections not only with their current and past states but also with the delay function itself. As a result, their focus shifts towards fractional neutral stochastic differential equations, which find applications in diverse fields such as biology, physics, signal processing, economics, and others. The fundamental principles of existence and uniqueness of solutions to differential equations, which guarantee the presence of a solution and its uniqueness for a specified equation, are pivotal in both the mathematical and physical realms. A crucial approach for analyzing complex systems of differential equations is the utilization of the averaging principle, which simplifies problems by approximating existing ones. Applying contraction mapping principles, we present results concerning the concepts of existence and uniqueness for the solutions of fractional neutral stochastic differential equations. Additionally, we present Ulam-type stability and the averaging principle results within the framework of <inline-formula id="math-09-07-845-M2"><inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="math-09-07-845-M2.jpg"/></inline-formula> space. This exploration involved the utilization of Jensen's, Gröenwall-Bellman's, Hölder's, Burkholder-Davis-Gundy's inequalities, and the interval translation technique. Our findings are established within the context of the conformable fractional derivative, and we provide several examples to aid in comprehending the theoretical outcomes.</p></abstract>

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

Analysis of Neutral Stochastic Fractional Differential Equations Involving Riemann–Liouville Fractional Derivative with Retarded and Advanced Arguments

Analysis of Neutral Stochastic Fractional Differential Equations Involving Riemann–Liouville Fractional Derivative with Retarded and Advanced Arguments