Stability of Hybrid SDEs Driven by fBm

Abstract

In this paper, the exponential stability of stochastic differential equations driven by multiplicative fractional Brownian motion (fBm) with Markovian switching is investigated. The quasi-linear cases with the Hurst parameter H ∈ (1/2, 1) and linear cases with H ∈ (0, 1/2) and H ∈ (1/2, 1) are all studied in this work. An example is presented as a demonstration.