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VIETNAM NATIONAL UNIVERSITY, HANOI

UNIVERSITY OF SCIENCE

FACULTY OF MATHEMATICS, MECHANICS

AND INFORMATICS

Le Anh Tuan

STABILITY OF STOCHASTIC DYNAMIC EQUATIONS

ON TIME SCALES

THESIS FOR THE DEGREE OF

DOCTOR OF PHILOSOPHY IN MATHEMATICS

HANOI – 2018
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VIETNAM NATIONAL UNIVERSITY, HANOI

UNIVERSITY OF SCIENCE

LE ANH TUAN

STABILITY OF STOCHASTIC DYNAMIC EQUATIONS

ON TIME SCALES

Speciality: Probability Theory and Mathematical Statistics

Speciality Code: 62.46.01.06

THESIS FOR THE DEGREE OF

DOCTOR OF PHYLOSOPHY IN MATHEMATICS

Supervisor: PROF. DR. NGUYEN HUU DU

HANOI – 2018
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This work has been completed at VNU-University of Science under the

supervision of Prof. Dr. Nguyen Huu Du. I declare hereby that the results
presented in it are new and have never been used in any other thesis.
Author: Le Anh Tuan
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Acknowledgments

First and foremost, I want to express my deep gratitude to Prof. Dr.

Nguyen Huu Du for accepting me as a PhD student and for his help and
advice while I was working on this thesis. He has always encouraged me in
my work and provided me with the freedom to elaborate my own ideas
I would like to express my special appreciation to Professor Dang Hung
Thang, Doctor Nguyen Thanh Dieu, other members of seminar at Depart-
ment of Probability theory and mathematical statistics and all friends in
Professor Nguyen Huu Du’s group seminar for their valuable comments
and suggestions to my thesis.
I would like to thank the VNU of Science for providing me with such
an excellent study environment.
Furthermore, I would like to thank the leaders of Faculty of Fundamen-
tal Science, Hanoi University of Industry, the Dean board as well as to the
all my colleagues at Faculty of Fundamental Science for their encourage-
ment and support throughout my PhD studies.
Finally, during my study, I always get the endless love and uncondi-
tional support from my family: my parents, my parents-in-law, my wife,
my little children and my dearest aunt. I would like to express my sincere
gratitude to all of them. Thank you all.
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Abstract

The theory of analysis on time scales was introduced by S. Hilger in

1988 (see [26]) in order to unify the discrete and continuous analyses and
simultaneously to construct mathematical models of systems that are un-
evenly evolving over time, reflecting real models.
Since was born, the theory of analysis on time scales has received much
attentions from many research groups. One of most important problems in
analysis on time scales is to consider the quantity and quality of dynamic
equations such as the existence and uniqueness of solutions, numerical
methods for solving these solutions as well the stability theory...
However, so far, almost results related to the analysis on time scales are
mainly in deterministic analysis, i.e., there are no random factors involved
to dynamic equations. Thus, these results only describe models developed
in non-perturbed environmental conditions. Obviously, such these models
are not fitted to actual practice and we must take into account the random
factors that affect the environment. Therefore, the transfer of analytical
results studying determinate models on time scales to stochastic models is
an urgent need.
As far as we know, for the stochastic analysis on time scales, there
are not many significant results, especially, results related to the stability
of stochastic dynamic equations and stochastic dynamic delay equations.
Some results in this field can be referred to [13, 14, 40, 41, 44, 60, ...].
For the above reasons, we have chosen the doctoral thesis research topic
as ”Stability of stochastic dynamic equations on time scales”.
Thesis is concerned with the following issues:

• Studying the existence and uniqueness of solutions for ∇- stochastic

dynamic delay equations: giving the definition of stochastic dynamic
delay equations and the concept of solutions; proving theorems of ex-
istence and uniqueness of solutions; estimating the rate of the conver-

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gence in Picard approximation for the solutions. Proving theorem of

existence and uniqueness of solutions under locally Lipschitz condition
and estimating moments of solutions for stochastic dynamic equations
on time scales.

• Studying the stability of ∇-stochastic dynamic equations and ∇-stochastic

dynamic delay equations on time scale T by using methods of Lya-
punov functions.

It is known that the theory of stochastic calculus is one of difficult

topics in the probability theory since it relates to many basic knowledges
like Brownian motions, Markov process and martingale theory. Therefore,
the theory of stochastic analysis on time scales is much more difficult
because the structure of time scales is divert. That causes very complicated
calculations when we carry out familiar results from stochastic calculus to
similar one on time scales. Besides, some estimates of stochastic calculus
for stochastic calculus on R are not automatically valid on an arbitrary
time scale. Therefore, it requires to reformulate these estimates and to
find new suitable techniques to approach the problem.

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List of Notations

A Defined on the set C 1,2 (Ta × Rd ; R), is called generator;

B Class of Borel sets in R;
Crd Set of rd-continuous functions f : T −→ R ;
Cld Set of ld-continuous functions f : T −→ R ;
C 1,2 (Ta × Rd ; R) Family of all functions V (t, x) defined on Ta × Rd
such that they are continuously ∇−differentiable in t
and twice continuously differentiable in x;
Ft+ = ∩s>t Fρ(s) ;
(Ω, F, P, {Ft }t∈Ta )Stochastic basis;
ft− = f (t−) = limσ(s)↑t f (s);
I1 = {t : t is left-scattered};
I2 = {t : t is right-scattered};
I = I1 ∪ I2 ;
Kt Density of hM it ;
K
bt Density of hM
cit ;
L2 (M ) Space of all real - valued, predictable processes
φ = {φt }t∈Ta satisfying
kφk2t,M = E (a,t] |φτ |2 ∇hM iτ < ∞ for all t ∈ Ta ;
R

L2 ((a, b]; M ) Restriction of L2 (M ) on (a, b];

L1 ((a, T ]; Rd ) Set of all Ft −adapted process φt satisfying
RT
a kφt k∇t < ∞;
Lloc
1 (Ta , R) Family of real valued, Ft −adapted processes {f (t)}t∈Ta
RT
satisfying a |f (τ )|∇τ < +∞ a.s. for every T ∈ Ta ;
Lloc d
1 (Tt0 ; R ) Set of functions, valued in Rd , Ft -adapted such that
RT
t0 f (τ )∇τ < +∞ for all T ∈ Ta ;
Lloc d
2 (Tt0 ; R , M ) Set of functions, valued in Rd , Ft -adapted such that
RT
E t0 h2 (τ )∇hM iτ < +∞) ∀ T ∈ Tt0 ;
LV = V ∇ + AV ;
Mloc
2 Set of the locally square-integrable Ft − martingales;
Mr2 Subspace of the space M2 consisting of martingales
with continuous characteristics;
hM i Characteristic of the martingale M ;

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P

M
ct = Mt − s∈(a,t] Ms − Mρ(s) ;
Rn n− dimensional Euclidean space;
R, Z, N, N0 Real numbers, the integers, the natural numbers,
and the nonnegative integers;
R Set of all regressive and rd-continuous functions f ;
+
R Set of positive regressive element of R(T, R);
T Time scale;
Ta ={x ∈ T : x > a}, a ∈ T;
T \ {M } if T has a right-scattered minimum M
min min
kT =
T otherwise;

T \ {M } if T has a left-scattered maximum M
k max max
T =
T otherwise;
ρ(t) Backward operator;
σ(t) Forward operator;
µ(t) = σ(t) − t (Forward graininess);
ν(t) = t − ρ(t) (Backward graininess);
Ψ
bt Density of jumps of M
ct ;
[a, b] = {t ∈ T : a 6 t 6 b};

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Contents

Page

Abstract i

List of Notations iii

Introduction 1

Chapter 1 Preliminaries 12
1.1 Survey on analysis on time scale . . . . . . . . . . . . . . . . 12
1.2 Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.2.1. Continuous functions . . . . . . . . . . . . . . . . . . 15
1.2.2. Nabla derivative . . . . . . . . . . . . . . . . . . . . . 16
1.2.3. Lesbesgue ∇− integral . . . . . . . . . . . . . . . . . 18
1.2.4. Exponential function . . . . . . . . . . . . . . . . . . 21
1.3 Stochastic processes on time scales . . . . . . . . . . . . . . 23
1.3.1. Basic notations of probability theory . . . . . . . . . 23
1.3.2. Stochastic processes on time scales . . . . . . . . . . 23
1.3.3. Martingales . . . . . . . . . . . . . . . . . . . . . . . 25
1.4 ∇−stochastic integral . . . . . . . . . . . . . . . . . . . . . . 27
1.4.1. ∇−stochastic integral with respect to square inte-
grable martingale . . . . . . . . . . . . . . . . . . . . 27

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1.4.2. ∇−stochastic integral with respect to locally square

integrable martingale . . . . . . . . . . . . . . . . . . 30
1.4.3. ∇−stochastic integral with respect to semimartingale 31
1.5 Itô’s formula . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
1.5.1. Quadratic co-variation . . . . . . . . . . . . . . . . . 32
1.5.2. Itô’s formula . . . . . . . . . . . . . . . . . . . . . . 33
1.6 Martingale problem . . . . . . . . . . . . . . . . . . . . . . . 35
1.6.1. Counting processes for discontinuous martingales . . 35
1.6.2. Martingale problem formulation . . . . . . . . . . . . 38

Chapter 2 The stability of ∇-stochastic dynamic equations 40

2.1 Solutions of stochastic dynamic equations . . . . . . . . . . 41
2.2 Locally Lipschitz condition on existence and uniqueness of
solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.3 Finiteness of moments . . . . . . . . . . . . . . . . . . . . . 47
2.4 Exponential p-stability of stochastic dynamic equations . . . 49
2.4.1. Sufficient condition . . . . . . . . . . . . . . . . . . . 50
2.4.2. Necessary condition . . . . . . . . . . . . . . . . . . . 51
2.5 Stochastic stability of stochastic dynamic equations . . . . . 64
2.5.1. Basic definitions . . . . . . . . . . . . . . . . . . . . . 64
2.5.2. Sufficient conditions . . . . . . . . . . . . . . . . . . 65
2.6 Almost sure exponential stability of stochastic dynamic equa-
tions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
2.7 Conclusion of Chapter 2 . . . . . . . . . . . . . . . . . . . . 74

Chapter 3 The stability of ∇−stochastic dynamic delay

equations 76
3.1 ∇-stochastic dynamic delay equations . . . . . . . . . . . . . 77
3.1.1. ∇-stochastic dynamic delay equations . . . . . . . . . 77
3.1.2. Solutions of stochastic dynamic delay equations . . . 78
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3.1.3. Existence and uniqueness of solutions . . . . . . . . 78

3.1.4. Rate of the convergence . . . . . . . . . . . . . . . . 82
3.1.5. Locally Lipschitz condition on existence and unique-
ness of solutions . . . . . . . . . . . . . . . . . . . . . 83
3.2 Exponential p-stability of stochastic dynamic delay equations 87
3.2.1. Sufficient condition . . . . . . . . . . . . . . . . . . . 87
3.2.2. Examples . . . . . . . . . . . . . . . . . . . . . . . . 89
3.3 Almost sure exponential stability of dynamic delay equations 92
3.4 Conclusion of Chapter 3 . . . . . . . . . . . . . . . . . . . . 94

Bibliography 96
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Introduction

Stochastic calculus is one mathematical field studying mathematical

analytical calculations (integral, differential equations, continuity, stability
of solution...) towards the stochastic processes in order to build mathe-
matical models for dynamic systems under effects of random factors. Con-
sequently, stochastic analysis has many applications in biology, medicine,
physics, economy, social sciences..., and it attracts a lot of attention from
mathematicians. So far, stochastic analysis with continuous time and dis-
crete time has been well studied. But in practice, most systems are not
fully functional and are not completely evenly spaced. Sometimes, obser-
vations intermingle both continuous and discrete times. For example, some
worms develop only during the summer but in the winter their growth is
interrupted. Therefore, in many cases, differential equations or difference
equations are insufficient to describe the required information of the model.
Hence, in recent years, one focuses on the so-called analysis on time scales.
1. Time scales
The theory of analysis on time scale, which was introduced by S. Hilger
in his PhD thesis [26], has been born in order to unify continuous and
discrete analysis. The results of analytical calculations on time scales
allow us to construct mathematical models of systems that are unevenly
evolving over time, reflecting real models.
The theoretical study of analysis on time scales has led to a number of
important applications, for example in the study of insect density, nervous
system, thermodynamic, quantum mechanics and disease model...
We know that there are many results of differential equations that are
made quite easily and naturally for difference equations. However, there
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are easy results to show for differential equations, not simply for difference
equations and vice versa. Studying the dynamic equations on time scales
gives us a clear view to overcome this inconsistency between discontinuous
differential equations and discrete difference equations. In addition, it
is also avoided that a result may be proved twice, once for differential
equations and another for difference equations.
We can take the time scale as the set of real numbers R, the resulting
results will be similar to those in ordinary differential equations. If the time
scale is the set of integers Z, the resulting general result will be similar
to the result in the difference equation. However, time scales are rich in
structure, so the results are generalized and much better than the results
on the set of real numbers and on the set of integers. Therefore, the basic
characteristic of these time scales is unification and expanded. That is the
main reason there have been dozens of books and thousands of articles
dealing with the analysis on time scales [6, 7, 9, 16]. Many familiar results
in the continuous or discrete cases have been ”shifted” to time scales. For
example, on the study of the dynamical system on time scales, there are
very profound results on stability, oscillation, boundary value problems...
However, as we know, so far the results of the study on time scales
are mainly in deterministic analysis. Therefore, these results only describe
models developed in non-perturbed environmental conditions. Obviously,
the actual models are not so and we must take into account the random
factors that affect the environment. Hence, the transfer of the analytical
results on time scales of the determinate models to the stochastic model
is an urgent need.
2. Stochastic integral on time scales
2.1. Stochastic calculus with continuous time and discrete time
a. Brownian motion
In order to define stochastic integral, firstly we introduce Brownian
motion concept.
Brownian motion was firstly discovered by English physicist Robert
Brown in 1827, when he observed through the microscope, and he saw

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the motion of suspended pollen particles in water is very chaotic. By ex-

perimenting with particles of inorganic matter, he eliminated the external
causes of the motion. However, the source of the motion has remained
unraveled.
In 1880, Thorvald Nicolai Thiele, a Danish astronomer [63], created the
Brownian motion model in mathematics when he analyzed the time series.
In 1905, Albert Einstein, the German physicist, described this phenomenon
under the name ”Brownian motion”. Although the Brown motion model
initially proposed by Thorvald Nicolai Thiele but the model was almost
unknown.
In 1923, N. Wiener used measurement theory to construct the Brownian
motion, and then demonstrated its unique existence.
Today, in recognition of his contribution, we call the Brownian motion
by Wiener process. In his work, N. Wiener pointed out that the trajectory
of Brown’s motion has unbounded variations. Thus, integration of Wiener
process can not be constructed in a conventional way as Lebesgue-Stieltjes
integral.
b. Martingales and semimartingales
In probability theory, a martingale is a stochastic process for which, at
a particular time in the realized sequence, the expectation of a future value
in the process is equal to the present observed value even given knowledge
of all prior observed values.
The concept of martingale in probability theory was introduced by
Paul Lévy in 1934, though he did not name them. The term ”martingale”
was introduced later by Ville (1939), who also extended the definition to
continuous martingales. Much of the original development of the theory
was done by Joseph Leo Doob among others. Part of the motivation for
that work was to show the impossibility of successful betting strategies.
A real valued process X is called a semimartingale if it can be decom-
posed as the sum of a local martingale and an adapted finite-variation
process. Semimartingales are good integrators, forming the largest class
of processes with respect to which the Itô integral and the Stratonovich

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