Stability criteria for rough systems
Abstract
We propose a quantitative direct method to prove the local stability of a stationary solution for a rough differential equation and its regular discretization scheme. Using Doss-Sussmann technique and stopping time analysis, we provide stability criteria for a stationary solution of the continuous system to be exponentially stable, provided the diffusion term is bounded and its derivatives exhibit small growth. The same conclusions hold for the regular discretization scheme with a sufficiently small step size, but one needs to apply the sewing lemma and stopping times for the discrete time set. Our stability criteria are based on the linearization of the drift and require only information about the bound and growth rates of the diffusion, making them data-driven criteria.
Cite
@article{arxiv.2410.07842,
title = {Stability criteria for rough systems},
author = {Luu Hoang Duc and Phan Thanh Hong and Nguyen Dinh Cong},
journal= {arXiv preprint arXiv:2410.07842},
year = {2025}
}