Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.607458
Title: Stability properties of stochastic differential equations driven by Lévy noise
Author: Siakalli, Michailina
Awarding Body: University of Sheffield
Current Institution: University of Sheffield
Date of Award: 2009
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Abstract:
The main aim of this thesis is to examine stability properties of the solutions to stochastic differential equations (SDEs) driven by Levy noise. Using key tools such as Ito's formula for general semimartingales, Kunita's moment estimates for Levy-type stochastic integrals, and the exponential martingale inequality, we find conditions under which the solutions to the SDEs under consideration are stable in probability, almost surely and moment exponentially stable. In addition, stability properties of stochastic functional differential equations (SFDEs) driven by Levy noise are examined using Razumikhin type theorems. In the existing literature the problem of stochastic stabilization and destabilization of first order non-linear deterministic systems has been investigated when the system is perturbed with Brownian motion. These results are extended in this thesis to the case where the deterministic system is perturbed with Levy noise. We mainly focus on the stabilizing effects of the Levy noise in the system, prove the existence of sample Lyapunov exponents of the trivial solution of the stochastically perturbed system, and provide sufficient criteria under which the system is almost surely exponentially stable. From the results that are established the Levy noise plays a similar role to the Brownian motion in stabilizing dynamical systems. We also establish the variation of constants formula for linear SDEs driven by Levy noise. This is applied to study stochastic stabilization of ordinary functional differential equation systems perturbed with Levy noise.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.607458  DOI: Not available
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