Exponential Stability of Solutions to Stochastic Differential Equations Driven by G-Levy Process

Bingjun Wang; Hongjun Gao

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Exponential Stability of Solutions to Stochastic Differential Equations Driven by G-Levy Process

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arxiv 1801.03776 v1 pith:6NEKSOFE submitted 2018-01-10 math.PR

Exponential Stability of Solutions to Stochastic Differential Equations Driven by G-Levy Process

Bingjun Wang , Hongjun Gao This is my paper

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keywords exponentialg-levyprocesssolutionsstabilitydifferentialdrivenequations

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In this paper, BDG-type inequality for G-stochastic calculus with respect to G-Levy process is obtained and solutions of stochastic differential equations driven by G-Levy process under non-Lipschitz condition are constructed. Moreover, we establish the mean square exponential stability and quasi sure exponential stability of the solutions be means of G-Lyapunov function method. An example is presented to illustrate the efficiency of the obtained results.

Exponential Stability of Solutions to Stochastic Differential Equations Driven by G-Levy Process

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