Singular stochastic delay equations driven by fractional Brownian motion: Dynamics, longtime behaviour, and pathwise stability
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arXiv
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| Format: | Preprint |
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2024
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| author | Varzaneh, Mazyar Ghani Riedel, Sebastian |
| author_facet | Varzaneh, Mazyar Ghani Riedel, Sebastian |
| contents | We study differential equations with a linear, path dependent drift and discrete delay in the diffusion term driven by a $γ$-Hölder rough path for $γ> \frac{1}{3}$. We prove well-posedness of these systems and establish a priori bounds for their solutions. Applying these results to an equation driven by a multidimensional fractional Brownian motion with Hurst paramter $H \in \big(\frac{1}{3},1\big)$, we can prove the existence of a Lyapunov spectrum for the linearized system that describes its long-time behaviour. Furthermore, we can deduce the existence of local stable, unstable, and center manifolds for the nonlinear equation. As an application, we can prove that under suitable conditions, the solution exhibits pathwise local exponential stability. En passant, we present new, concise and relatively short proofs for some classical results for $\mathcal{C}_0$-semigroups that build on the Multiplicative Ergodic Theorem formulated on Banach spaces. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2411_04590 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Singular stochastic delay equations driven by fractional Brownian motion: Dynamics, longtime behaviour, and pathwise stability Varzaneh, Mazyar Ghani Riedel, Sebastian Probability Dynamical Systems 60L20, 60L50, 37H10, 37H15, 37H30, 34K19, 34K20, 34K50, 60G22 We study differential equations with a linear, path dependent drift and discrete delay in the diffusion term driven by a $γ$-Hölder rough path for $γ> \frac{1}{3}$. We prove well-posedness of these systems and establish a priori bounds for their solutions. Applying these results to an equation driven by a multidimensional fractional Brownian motion with Hurst paramter $H \in \big(\frac{1}{3},1\big)$, we can prove the existence of a Lyapunov spectrum for the linearized system that describes its long-time behaviour. Furthermore, we can deduce the existence of local stable, unstable, and center manifolds for the nonlinear equation. As an application, we can prove that under suitable conditions, the solution exhibits pathwise local exponential stability. En passant, we present new, concise and relatively short proofs for some classical results for $\mathcal{C}_0$-semigroups that build on the Multiplicative Ergodic Theorem formulated on Banach spaces. |
| title | Singular stochastic delay equations driven by fractional Brownian motion: Dynamics, longtime behaviour, and pathwise stability |
| topic | Probability Dynamical Systems 60L20, 60L50, 37H10, 37H15, 37H30, 34K19, 34K20, 34K50, 60G22 |
| url | https://arxiv.org/abs/2411.04590 |