Asymptotical stability of differential equations driven by Hölder--continuous paths

Abstract

In this manuscript, we establish asymptotic local exponential stability of the trivial solution of differential equations driven by Hölder--continuous paths with Hölder exponent greater than $1/2$. This applies in particular to stochastic differential equations driven by fractional Brownian motion with Hurst parameter greater than $1/2$. We motivate the study of local stability by giving a particular example of a scalar equation, where global stability of the trivial solution can be obtained.

18 pages