Exponential Stability of Solutions to Stochastic Differential Equations Driven by G-Levy Process

Abstract

In this paper, BDG-type inequality for G-stochastic calculus with respect to G-Levy process is obtained and solutions of stochastic differential equations driven by G-Levy process under non-Lipschitz condition are constructed. Moreover, we establish the mean square exponential stability and quasi sure exponential stability of the solutions be means of G-Lyapunov function method. An example is presented to illustrate the efficiency of the obtained results.

arXiv admin note: substantial text overlap with arXiv:1211.2973 by other authors