Exponential stability of SDEs driven by FBM with Markovian switching

Abstract

In this paper, we focus on the exponential stability of stochastic differential equations driven by fractional Brownian motion (fBm) with Hurst parameter H ∈ (1/2, 1). Based on the generalized Itô formula and representation of the fBm, some sufficient conditions for exponential stability of a class of SDEs with additive fractional noise are given. Besides, we present a criterion on the exponential stability for the fractional Ornstein-Uhlenbeck process with Markov switching. A numerical example is provided to illustrate our results.