Nonlinear Stochastic Differential Delay Equations Research Articles

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.

Novel criteria for exponential stability in mean square of stochastic delay differential equations with Markovian switching

This paper addresses the exponential stability in mean square of nonlinear stochastic delay differential equations with Markovian switching. Using a novel approach, we present new explicit criteria for exponential stability in mean square. A discussion and two examples are given to illustrate the effectiveness of our criteria.

Matrix numerical method for probability densities of stochastic delay differential equations

Stochastic processes with time delay are invaluable for modeling in science and engineering when finite signal transmission and processing speeds can not be neglected. However, they can seldom be treated with sufficient precision analytically if the corresponding stochastic delay differential equations (SDDEs) are nonlinear. This work presents a numerical algorithm for calculating the probability densities of processes described by nonlinear SDDEs. The algorithm is based on Markovian embedding and solves the problem by basic matrix operations. We validate it for a broad class of parameters using exactly solvable linear SDDEs and a cubic SDDE. Besides, we show how to apply the algorithm to calculate transition rates and first passage times for a Brownian particle diffusing in a time-delayed cusp potential.

Existence and Hyers–Ulam Stability of Stochastic Delay Systems Governed by the Rosenblatt Process

Under the effect of the Rosenblatt process, time-delay systems of nonlinear stochastic delay differential equations are considered. Utilizing the delayed matrix functions and exact solutions for these systems, the existence and Hyers–Ulam stability results are derived. First, depending on the fixed point theory, the existence and uniqueness of solutions are proven. Next, sufficient criteria for the Hyers–Ulam stability are established. Ultimately, to illustrate the importance of the results, an example is provided.

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

Convergence and stability of split-step θ methods for stochastic variable delay differential equations

In this paper, a split-step θ algorithm is proposed for nonlinear stochastic variable delay differential equations. It is proved that the numerical solution obtained by the algorithm converges to the exact solution under the local Lipschitz condition. Moreover, it is shown that the numerical algorithm can maintain the mean square stability of the analytical solution for linear scalar equations. Finally, numerical experiments demonstrate the correctness of the theoretical algorithm.

Stabilization of Highly Nonlinear Hybrid Stochastic Differential Delay Equations with Lévy Noise by Delay Feedback Control

Stabilization of Highly Nonlinear Hybrid Stochastic Differential Delay Equations with Lévy Noise by Delay Feedback Control

Stability analysis of highly nonlinear hybrid stochastic systems with Poisson jump

This article discusses a class of nonlinear hybrid stochastic differential delay equations with Poisson jump and different structures. Compared with the Brownian motion, the jump makes the analysis more complex by reason of the discontinuity of its sample paths. Moreover, the coefficients meet a novel nonlinear growth condition and different structures in different switch modes. By using M-matrices and Lyapunov functions, we prove that the existence-uniqueness, asymptotic boundedness and exponential stability of the solution. Finally, we give two examples to demonstrate the usefulness of our theory.

Controllability of Stochastic Delay Systems Driven by the Rosenblatt Process

In this work, we consider dynamical systems of linear and nonlinear stochastic delay-differential equations driven by the Rosenblatt process. With the aid of the delayed matrix functions of these systems, we derive the controllability results as an application. By using a delay Gramian matrix, we provide sufficient and necessary criteria for the controllability of linear stochastic delay systems. In addition, by employing Krasnoselskii’s fixed point theorem, we present some necessary criteria for the controllability of nonlinear stochastic delay systems. Our results improve and extend some existing ones. Finally, an example is given to illustrate the main results.

Advances in nonlinear hybrid stochastic differential delay equations: Existence, boundedness and stability

This paper is concerned with a class of highly nonlinear hybrid stochastic differential delay equations (SDDEs). Different from the most existing papers, the time delay functions in the SDDEs are no longer required to be differentiable, not to mention their derivatives are less than 1. The generalized Hasminskii-type theorems are established for the existence and uniqueness of the global solutions. Comparing with the existing results, we show our new theorems are much more general and can be applied to a much wider class of highly nonlinear SDDEs. Further sufficient conditions are also obtained for the asymptotic boundedness and stability.

Boundedness and stability of nonlinear hybrid stochastic differential delay equation disturbed by Lévy noise

This study focuses on the boundedness and stability of the nonlinear hybrid stochastic differential delay equation (NHSDDE) disturbed by Lévy noise (LN). Different from the previous systems with Markovian switching, not only different parameters under different modes, but also different structures under different modes are considered, where a novel Lyapunov function is constructed to handle the impacts of different structures under different modes. Without the linear growth condition, the existence of the global solution is proved for the NHSDDE with LN. Then, the M-matrix technique is applied to build some reasonable theorems upon the vth moment asymptotic boundedness, the vth moment exponential stability and the almost surely exponential stability for the NHSDDE driven by LN. An approach to solving the admissible upper bound of the time-delay derivative is given for guaranteeing the asymptotic boundedness and the exponential stability of the global solution. Finally, two numerical examples and homologous simulated outcomes are provided to indicate the usefulness of the presented theoretical findings.

Some Generalization of the Method of Stability Investigation for Nonlinear Stochastic Delay Differential Equations

It is known that the method of Lyapunov functionals is a powerful method of stability investigation for functional differential equations. Here, it is shown how the previously proposed method of stability investigation for nonlinear stochastic differential equations with delay and a high order of nonlinearity can be extended to nonlinear mathematical models of a much more general form. An important feature is the combination of the method of Lyapunov functionals with the method of Linear Matrix Inequalities (LMIs). Some examples of applications of the proposed method of stability research to known mathematical models are given.

The truncated θ-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations

In this paper we propose and analyze a truncated θ-Milstein method for solving a class of non-autonomous stochastic differential delay equations with highly nonlinear coefficients. Under a generalized monotone condition of the coefficients, the convergence order of the truncated θ-Milstein method is obtained. We find that the convergence rate is dependent on the exponent of the Hölder conditions. To verify our theoretical findings, we provide a numerical example.

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.

Advances in stabilization of highly nonlinear hybrid delay systems

Given an unstable highly nonlinear hybrid stochastic differential delay equation (SDDE, also known as an SDDE with Markovian switching), can we design a delay feedback control to make the controlled hybrid SDDE become exponentially stable? Recent work by Li and Mao in 2020 gave a positive answer when the delay in the given SDDE is a positive constant. It is also noted that in their paper the time lag in the feedback control is another constant. However, time delay in a real-world system is often a variable of time while it is difficult to implement the feedback control in practice if the time lag involved is a strict constant. Mathematically speaking, the stabilization problem becomes much harder if these delays are time-varying, in particular, if they are not differentiable. The aim of this paper is to tackle the stabilization problem under non-differentiable time delays. One more new feature in this paper is that the feedback control function used is bounded.

Stabilization by variable-delay feedback control for highly nonlinear hybrid stochastic differential delay equations

We consider a hybrid SDE (stochastic differential equation) with variable delays, which is unstable and its coefficients satisfy some polynomial growth conditions. We want to find a variable-delays feedback control such that the controlled hybrid SDE with variable delay becomes stable. We establish some novel stability criteria of the controlled SDE with variable delays. Our results improve the existing results from hybrid SDEs with constant-delays to hybrid SDEs with variable-delays. Finally, an example is given to confirm our results.

Numerical treatment of a fractional order system of nonlinear stochastic delay differential equations using a computational scheme

In this article, a step-by-step collocation approach based on the shifted Legendre polynomials is presented to solve a fractional order system of nonlinear stochastic differential equations involving a constant delay. The problem is considered with suitable initial condition and the fractional derivative is in the Caputo sense. With a step-by-step process, first, the considered problem is converted into a non-delay fractional order system of nonlinear stochastic differential equations in each step and then, a shifted Legendre collocation scheme is introduced to solve this system. By collocating the obtained residual at the shifted Legendre points, we get a nonlinear system of equations in each step. The convergence analysis and rate of convergence of the proposed method are investigated . Finally, three test examples are provided to affirm the accuracy of this technique in the presence of different noise measures.

The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations

This paper focuses on explicit approximations for nonlinear stochastic delay differential equations (SDDEs). Under less restrictive conditions, the truncated Euler-Maruyama (TEM) schemes for SDDEs are proposed, which numerical solutions are bounded in the q th moment for q ≥ 2 and converge to the exact solutions strongly in any finite interval. The 1/2 order convergence rate is yielded. Furthermore, the long-time asymptotic behaviors of numerical solutions, such as stability in mean square and $\mathbb {P}-1$ , are examined. Several numerical experiments are carried out to illustrate our results.

The Truncated Theta-EM Method for Nonlinear and Nonautonomous Hybrid Stochastic Differential Delay Equations with Poisson Jumps

In this paper, we study a class of nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps (HSDDEwPJs). The convergence rate of the truncated theta-EM numerical solutions to HSDDEwPJs is investigated under given conditions. An example is shown to support our theory.

A novel collocation approach to solve a nonlinear stochastic differential equation of fractional order involving a constant delay

<p style='text-indent:20px;'>In present work, a step-by-step Legendre collocation method is employed to solve a class of nonlinear fractional stochastic delay differential equations (FSDDEs). The step-by-step method converts the nonlinear FSDDE into a non-delay nonlinear fractional stochastic differential equation (FSDE). Then, a Legendre collocation approach is considered to obtain the numerical solution in each step. By using a collocation scheme, the non-delay nonlinear FSDE is reduced to a nonlinear system. Moreover, the error analysis of this numerical approach is investigated and convergence rate is examined. The accuracy and reliability of this method is shown on three test examples and the effect of different noise measures is investigated. Finally, as an useful application, the proposed scheme is applied to obtain the numerical solution of a stochastic SIRS model.</p>