Lyapunov Functions for Almost Sure Exponential Stability

We present a generalization of results obtained by X. Mao in his book “Stochastic Differential Equations and Applications” (2008). When studying what Mao calls “almost sure exponential stability”, essentially a negative upper bound on the almost sure Lyapunov exponents, he works with Lyapunov functions that are twice continuously differentiable in the spatial variable and continuously differentiable in time. Mao gives sufficient conditions in terms of such a Lyapunov function for a solution of a stochastic differential equation to be almost surely exponentially stable. Further, he gives sufficient conditions of a similar kind for the solution to be almost surely exponentially unstable. Unfortunately, this class of Lyapunov functions is too restrictive. Indeed, R. Khasminskii showed in his book “Stochastic Stability of Differential Equations” (1979/2012) that even for an autonomous stochastic differential equation with constant coefficients, of which the solution is stochastically stable and such that the deterministic part has an unstable equilibrium, there cannot exists a Lyapunov function that is differentiable at the origin. These restrictions are inherited by Mao’s Lyapunov functions. We therefore consider Lyapunov functions that are not necessarily differentiable at the origin and we show that the sufficiency conditions Mao proves can be generalized to Lyapunov functions of this form.