Exponential Asymptotic Stability of Linear Itô-Volterra Equation with Damped Stochastic Perturbations

Abstract

This paper studies the convergence rate of solutions of the linear Itô-Volterra equation $$ dX(t) = \left(AX(t) + \int_{0}^{t} K(t-s)X(s),ds\right)\,dt + \Sigma(t)\,dW(t) \tag{1} $$ where $K$ and $\Sigma$ are continuous matrix-valued functions defined on $\mathbb{R}^{+}$, and $(W(t))_{t \geq 0}$ is a finite-dimensional standard Brownian motion. It is shown that when the entries of $K$ are all of one sign on $\mathbb{R}^{+}$, that (i) the almost sure exponential convergence of the solution to zero, (ii) the $p$-th mean exponential convergence of the solution to zero (for all $p \gt 0$), and (iii) the exponential integrability of the entries of the kernel $K$, the exponential square integrability of the entries of noise term $\Sigma$, and the uniform asymptotic stability of the solutions of the deterministic version of (1) are equivalent. The paper extends a result of Murakami which relates to the deterministic version of this problem.