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On stability of large-scale G-SDEs: A decomposition approach
Applied Mathematics and Computation ( IF 3.5 ) Pub Date : 2021-01-01 , DOI: 10.1016/j.amc.2020.125466
Wensheng Yin , Jinde Cao

Abstract A decomposition approach is used to discuss the stability of large-scale stochastic differential equations driven by G-Brownian motion (G-SDEs, in short). This method establishes the connection between the large-scale G-SDEs and the corresponding reference G-SDEs (which is also called the isolated subsystems). It is shown that large-scale G-SDEs are exponentially stable in mean square if and only if each of the subsystems are exponentially stable in mean square. Finally, some interesting examples will be put forward to verifying the main results.

中文翻译:

关于大规模 G-SDE 的稳定性:一种分解方法

摘要 采用分解方法讨论G-布朗运动驱动的大规模随机微分方程(简称G-SDE)的稳定性。该方法建立了大规模 G-SDE 和相应的参考 G-SDE(也称为隔离子系统)之间的连接。结果表明,当且仅当每个子系统的均方指数稳定时,大规模 G-SDE 的均方指数稳定。最后,将提出一些有趣的例子来验证主要结果。
更新日期:2021-01-01
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