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Stability of High-Order Linear Itô Equations with Delays

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Document pages: 14 pages

Abstract: A novel general stability analysis scheme based on a non-Lyapunov frameworkis explored. Several easy-to-check sufficient conditions for exponential p-stability are formulated in terms of M-matrices. Stability analysis of appliedsecond-order Itô equations with delay is provided as well. The linearizationtechnique, in combination with the tests obtained in this paper, can be usedfor local stability analysis of a wide class of nonlinear stochastic differentialequations.

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