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POLYNOMIAL STABILITY FOR PERTURBED STOCHASTIC DIFFERENTIAL-EQUATIONS WITH RESPECT TO SEMIMARTINGALES
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UNSPECIFIED (1992) POLYNOMIAL STABILITY FOR PERTURBED STOCHASTIC DIFFERENTIAL-EQUATIONS WITH RESPECT TO SEMIMARTINGALES. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 41 (1). pp. 101-116. ISSN 0304-4149.
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Abstract
The aim of this paper is to investigate the almost surely polynomial stability of the stochastic differential equation with respect to semimartingales d-phi(t) = F(phi(t), t) d-mu(t) + G(phi(t), t) dM(t) + f(phi(t), t) d-mu(t) + g(phi(t), t) dM(t) under the condition that its unperturbed equation d-psi(t) = F(psi(t), t) d-mu(t) + G(psi(t), t) dM(t) is polynomially stable almost surely. Several useful corollaries are obtained in dealing with the classical Ito equations. The results are also extended to the more general stochastic differential equation based on semimartingales with spatial parameters.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | STOCHASTIC PROCESSES AND THEIR APPLICATIONS | ||||
Publisher: | ELSEVIER SCIENCE BV | ||||
ISSN: | 0304-4149 | ||||
Official Date: | May 1992 | ||||
Dates: |
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Volume: | 41 | ||||
Number: | 1 | ||||
Number of Pages: | 16 | ||||
Page Range: | pp. 101-116 | ||||
Publication Status: | Published |
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