<p>Fractional Brownian motion (fBm), known for its pronounced long-range dependence and persistent memory, poses substantial challenges to traditional stability analysis methods. To address these challenges, this paper investigates the asymptotic stability of discrete-time nonlinear stochastic systems driven by fBm with Hurst parameter <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\( H \in (\frac{1}{2}, 1) \)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>H</mi> <mo>∈</mo> <mo stretchy="false">(</mo> <mfrac> <mn>1</mn> <mn>2</mn> </mfrac> <mo>,</mo> <mn>1</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation>. By introducing an equivalent representation of fBm and exploiting its covariance structure, a new analytical framework is developed to handle the long-memory effect, thereby overcoming the main difficulty caused by the non-Markovian property of fBm. Based on this approach, a class of verifiable sufficient conditions for asymptotic stability is derived. The proposed results extend the classical stability theory of Brownian-driven systems to those affected by long-memory noise and provide new analytical tools for understanding their dynamic behavior. Numerical simulations are presented to confirm the correctness and applicability of the derived stability conditions.</p>

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Asymptotic stability for nonlinear discrete-time systems driven by fractional Brownian motion

  • Xiao-Li Zhang,
  • Guojian Ren,
  • Yongguang Yu,
  • Hu Wang

摘要

Fractional Brownian motion (fBm), known for its pronounced long-range dependence and persistent memory, poses substantial challenges to traditional stability analysis methods. To address these challenges, this paper investigates the asymptotic stability of discrete-time nonlinear stochastic systems driven by fBm with Hurst parameter \( H \in (\frac{1}{2}, 1) \) H ( 1 2 , 1 ) . By introducing an equivalent representation of fBm and exploiting its covariance structure, a new analytical framework is developed to handle the long-memory effect, thereby overcoming the main difficulty caused by the non-Markovian property of fBm. Based on this approach, a class of verifiable sufficient conditions for asymptotic stability is derived. The proposed results extend the classical stability theory of Brownian-driven systems to those affected by long-memory noise and provide new analytical tools for understanding their dynamic behavior. Numerical simulations are presented to confirm the correctness and applicability of the derived stability conditions.