Exponential stability for stochastic differential equations with respect to semimartingales

Consider a stochastic differential equation with respect to semimartingales dX(t)=AX(t)d[mu](t)+G(X(t),t) dM(t) which might be regarded as a stochastic perturbed system of dX(t)=AX(t)d[mu](t). Suppose the second equation is exponentially stable almost surely. What we are interested in in this paper is to discuss the sufficient conditions under which the first equation is still exponentially stable almost surely.

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Year of publication:	1990
Authors:	Mao, Xuerong
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 35.1990, 2, p. 267-277
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872622