Перейти до основного вмісту
Investigation of the conditions for the existence and uniqueness of solutions of linear stochastic differential functional equations with fractional Brownian motion
Kushnirchuk Volodymyr 1 , Malyk Igor 2
1 Department of Aplied Mathematics and Information Technologies, Yuriy Fedkovych Chernivtsi National University, Chernivtsi, 58000, Ukraine
2 Department of Mathematical Problems of Management and Cybernetics, Yuriy Fedkovych Chernivtsi National University, Chernivtsi, 58000, Ukraine
Keywords: stochastic differential equations, fractional Brownian motion, exponential stability, method of variation of constants
Abstract

The work is devoted to the study of sufficient conditions for the existence and uniqueness of solutions of linear stochastic differential-functional equations with integral with fractional Brownian motion $B^{(H)}(t),\ H \in \left( \frac{1}{2},1 \right)$. The work also considers an analogue of the method of variation of constants for such equations, which is an important result in the study of conditions for exponential stability in the mean square trivial solution of these equations.

References

1. Biagini, F., Hu, Y., Øksendal, B., Zhang, T. Stochastic Calculus for Fractional Brownian Motion and Applications. Springer, London, 2008. doi:10.1007/978-1-84628-797-8.
2. Gikhman, I.I., Skorokhod, A.V. Stochastic Differential Equations. Naukova Dumka, Kyiv, 1968. (in Russian)
3. Guo, Q., Mao, X., Yue, R. Almost Sure Exponential Stability of Stochastic Differential Delay Equations. SIAM J. Control Optim. 2016, 54(4), 1919–1933. doi:10.1137/15M1019465.
4. Hale, J.K. Theory of Functional Differential Equations. Springer, New York, 1977. ISBN: 978-1-4612-9894-5.
5. Ito, K. On a Stochastic Integral Equation. Proc. Japan Acad. Ser. A Math. Sci. 1946, 22(1), 32–35. doi:10.3792/pja/1195572371.
6. Malyk, I.V., Yasynskyi, V.K. Asymptotic Mean Square Behavior of Solutions to Systems of Stochastic Differential-Functional Equations of Neutral Type. Rep. Natl. Acad. Sci. Ukr. 2009, 10, 15–20. (in Ukrainian)
7. Mishura, Y. Stochastic Calculus for Fractional Brownian Motion and Related Processes. Springer, Berlin, 2008. doi:10.1007/978-3-540-75873-0.
8. Shaikhet, L. Lyapunov Functionals and Stability of Stochastic Functional Differential Equations. Springer, Cham, 2013. doi:10.1007/978-3-319-00101-2.
9. Tsarkov, Ye.F., Yasynskyi, V.K. Quasilinear Stochastic Differential-Functional Equations. Orientir, Riga, 1992. (in Ukrainian)

10. Yasinskaya, L.I., Yasinsky, V.K. Asymptotic Mean Square Stability of the Trivial Solution of a Stochastic Differential-Functional Equation. Ukr. Math. J. 1980, 32(1), 78–83. (in Russian)

Published Online 6/27/2025
Cite
ACS Style
Kushnirchuk, V.; Malyk, I. Investigation of the conditions for the existence and uniqueness of solutions of linear stochastic differential functional equations with fractional Brownian motion. Bukovinian Mathematical Journal. 2025, 13 https://doi.org/10.31861/bmj2025.01.12
AMA Style
Kushnirchuk V, Malyk I. Investigation of the conditions for the existence and uniqueness of solutions of linear stochastic differential functional equations with fractional Brownian motion. Bukovinian Mathematical Journal. 2025; 13(1). https://doi.org/10.31861/bmj2025.01.12
Chicago/Turabian Style
Volodymyr Kushnirchuk, Igor Malyk. 2025. "Investigation of the conditions for the existence and uniqueness of solutions of linear stochastic differential functional equations with fractional Brownian motion". Bukovinian Mathematical Journal. 13 no. 1. https://doi.org/10.31861/bmj2025.01.12
Export

The journal is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

We use own, third-party cookies, and localStorage files to analyze web traffic and page activities. Privacy Policy Settings