EXISTENCE AND STABILITY OF SOLUTIONS OF STOCHASTIC SEMILINEAR FUNCTIONAL DIFFERENTIAL EQUATIONS

Abstract

In this paper, we study stochastic semilinear functional differential equations in a Hilbert space. First, we prove the existence and uniqueness of a mild solution under two sets of hypotheses. We then consider the exponential stability of the second moment of the solution process of such equations as well as the exponential stability and asymptotic stability in probability of its sample paths. We further consider global stability in the mean. Such results are obtained using both local Lipschitz and non-Lipschitz nonlinearities. Our method is an interplay of the method of successive approximations and a comparison principle. Two applications are included to motivate this study.

Acknowledgments