# Xuerong MaoUniversity of Strathclyde · Department of Mathematics and Statistics

Xuerong Mao

MSc,PhD,FRSE

Top mathematicians in UK
https://research.com/scientists-rankings/mathematics/gb

## About

421

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Introduction

## Publications

Publications (421)

This paper is concerned with a class of highly nonlinear hybrid stochastic differential delay equations (SDDEs). Different from the most existing papers, the time delay functions in the SDDEs are no longer required to be differentiable, not to mention their derivatives are less than 1. The generalized Hasminskii-type theorems are established for th...

To our knowledge, the existing measure approximation theory requires the diffusion term of the stochastic delay differential equations (SDDEs) to be globally Lipschitz continuous. Our work is to develop a new explicit numerical method for SDDEs with the nonlinear diffusion term and establish the measure approximation theory. Precisely, we construct...

This article focuses on the delay‐dependent stability of highly nonlinear hybrid neutral stochastic functional differential equations (NSFDEs). The delay dependent stability criteria for a class of highly nonlinear hybrid NSFDEs are derived via the Lyapunov functional. The stabilities discussed in this article include H∞$$ {H}_{\infty } $$ stabilit...

This paper is devoted to the stability in distribution of stochastic differential equations with Markovian switching and Lévy noise by delay feedback control. By constructing efficient Lyapunov functional and linear delay feedback controls, the stability in distribution of stochastic differential equations with Markovian switching and Lévy noise is...

This paper investigates a sufficient condition of asymptotic stability in distribution of stochastic differential equations driven by G-Brownian motion (G-SDEs). We define the concept of asymptotic stability in distribution under sublinear expectations. Sufficient criteria of the asymptotic stability in distribution based on sublinear expectations...

The backward Euler-Maruyama (BEM) method is employed to approximate the invariant measure of stochastic differential equations, where both the drift and the diffusion coefficient are allowed to grow super-linearly. The existence and uniqueness of the invariant measure of the numerical solution generated by the BEM method are proved and the converge...

We consider the long-term properties of a stochastic SVIR epidemic model with saturation incidence rates and logistic growth in this paper. We firstly derive the fitness of a unique global positive solution. Then we construct appropriate Lyapunov functions and obtain condition R0s>1 for existence of stationary distribution, and conditions for persi...

Since it is difficult to implement implicit schemes on the infinite-dimensional space, we aim to develop the explicit numerical method for approximating super-linear stochastic functional differential equations (SFDEs). Precisely, borrowing the truncation idea and linear interpolation we propose an explicit truncated Euler-Maruyama scheme for super...

This paper considers a class of hybrid stochastic differential equations (SDEs) with different structures in different modes. In some modes, the coefficients of the SDEs satisfy the linear growth condition, while in the other modes, the coefficients are highly nonlinear. These systems are often unstable. This paper aims to design a discrete-time fe...

This work concerns about the numerical solution to the stochastic epidemic model proposed by Cai et al. [2]. The typical features of the model including the positivity and boundedness of the solution and the presence of the square-root diffusion term make this an interesting and challenging work. By modifying the classical Euler-Maruyama (EM) schem...

The backward Euler-Maruyama (BEM) method is employed to approximate the invariant measure of stochastic differential equations, where both the drift and the diffusion coefficient are allowed to grow super-linearly. The existence and uniqueness of the invariant measure of the numerical solution generated by the BEM method are proved and the converge...

Fractional Brownian motion with the Hurst parameter H < 1/2 is used widely, for instance, to describe a 'rough' stochastic volatility process in finance. In this paper, we examine an Ait-Sahalia-type interest rate model driven by a fractional Brownian motion with H < 1/2 and establish theoretical properties such as an existence-and-uniqueness theor...

Based on the classical probability, the stability of stochastic differential delay equations (SDDEs) whose coefficients are growing at most linearly has been investigated intensively. Moreover, the delay-dependent stability of highly nonlinear hybrid stochastic differential equations (SDEs) has also been studied recently. In this paper, using the n...

A new concept of stabilisation of hybrid stochastic systems in distribution by feedback controls based on discrete-time state observations is initialised. This is to design a controller to stabilise the unstable system such that the distribution of the solution process tends to a probability distribution. In addition, the discrete-time state observ...

Given an unstable highly nonlinear hybrid stochastic differential delay equation (SDDE, also known as an SDDE with Markovian switching), can we design a delay feedback control to make the controlled hybrid SDDE become exponentially stable? Recent work by Li and Mao in 2020 gave a positive answer when the delay in the given SDDE is a positive consta...

In this article, it is proved that feedback controllers can be designed to stabilize nonlinear neutral stochastic systems with Markovian switching (NSDDEwMS in short) only by using discrete observed state sequences. Due to the superlinear coefficients, the neutral term and the discrete observation data, many routine methods and techniques for the s...

This paper mainly investigates stabilization of hybrid stochastic differential equations (SDEs) via periodically intermittent feedback controls based on discrete-time state observations with a time delay. First, by using the theory of M-matrix and intermittent control strategy, we establish sufficient conditions for the stability of hybrid SDEs. Th...

This paper mainly investigates the strong convergence and stability of the truncated Euler-Maruyama (EM) method for stochastic differential delay equations with variable delay whose coefficients can be growing super-linearly. By constructing appropriate truncated functions to control the super-linear growth of the original coefficients, we present...

The purpose of this paper is to give the delay control based on discrete‐time state observations to stabilize highly nonlinear hybrid stochastic functional differential equations (SFDEs). It is considered that time lag generated by the controller in each discrete observation should be different. The new controlled hybrid SFDEs are affected the vari...

The aim of this paper is to explore the phenomenon of aperiodic stochastic resonance in neural systems with colored noise. For nonlinear dynamical systems driven by Gaussian colored noise, we prove that the stochastic sample trajectory can converge to the corresponding deterministic trajectory as noise intensity tends to zero in mean square, under...

This paper aims to determine whether or not a periodic stochastic feedback control can stabilize or destabilize a given nonlinear hybrid system. New methods are developed and sufficient conditions on the stability and instability for hybrid nonlinear systems with periodic stochastic perturbations are provided. These results are then used to examine...

In this article, we propose two types of explicit tamed Euler–Maruyama (EM) schemes for neutral stochastic differential delay equations with superlinearly growing drift and diffusion coefficients. The first type is convergent in the Lq sense under the local Lipschitz plus Khasminskii-type conditions. The second type is of order half in the mean-squ...

Given an unstable hybrid stochastic functional differential equation, how to design a delay feedback controller to make it stable? Some results have been obtained for hybrid systems with finite delay. However, the state of many stochastic differential equations are related to the whole history of the system, so it is necessary to discuss the feedba...

This paper is concerned with the design of a feedback control based on past states in order to make a given unstable hybrid stochastic differential equation (SDE) to be stable in distribution (stabilisation in distribution). This is the first paper in this direction. Under the global Lipschitz condition on the coefficients of the given unstable hyb...

The well-known stochastic Lotka–Volterra model for interacting multi-species in ecology has some typical features: highly nonlinear, positive solution and multi-dimensional. The known numerical methods including the tamed/truncated Euler–Maruyama (EM) applied to it do not preserve its positivity. The aim of this paper is to modify the truncated EM...

This article discusses the problem of exponential stability for a class of hybrid neutral stochastic differential delay equations with highly nonlinear coefficients and different structures in different switching modes. In such systems, the coefficients will satisfy the local Lipschitz condition and suitable Khasminskii-types conditions. The set of...

This paper is concerned with stablization of hybrid differential equations by intermittent control based on delay observations. By M-matrix theory and intermittent control strategy, we establish a sufficient stability criterion on intermittent hybrid stochastic differential equations. Meantime, we show that hybrid differential equations can be stab...

The original Ait-Sahalia model of the spot interest rate proposed by Ait-Sahalia assumes constant volatility. As supported by several empirical studies, volatility is never constant in most financial markets. From application viewpoint, it is important we generalise the Ait-Sahalia model to incorporate volatility as a function of delay in the spot...

This paper is concerned with the stabilization problem for nonlinear stochastic delay systems with Markovian switching by feedback control based on discrete-time state and mode observations. By constructing an efficient Lyapunov functionals, we establish the sufficient stabilization criteria not only in the sense of exponential stability (both the...

Based on the classical probability, the stability criteria for stochastic differential delay equations (SDDEs) where their coefficients are either linear or nonlinear but bounded by linear functions have been investigated intensively. Moreover, the dependent stability of the highly nonlinear hybrid stochastic differential equations is recently stud...

Since Mao in 2013 discretised the system observations for stabilisation problem of hybrid SDEs (stochastic differential equations with Markovian switching) by feedback control, the study of this topic using a constant observation frequency has been further developed. However, time‐varying observation frequencies have not been considered. Particular...

Given an unstable hybrid neutral stochastic differential equation (NSDE), can we design a delay feedback control to make the controlled hybrid NSDE become stable? It has been proved that this is possible under the linear growth condition. However, there is no answer to the question if the drift and diffusion coefficients of the given unstable NSDE...

In this article we introduce several kinds of easily implementable explicit schemes, which are amenable to Khasminski's techniques and are particularly suitable for highly nonlinear stochastic differential equations (SDEs). We show that without additional restriction conditions except those which guarantee the exact solutions possess their boundedn...

Given an unstable hybrid stochastic differential equation (SDDE, also known as an SDDE with Markovian switching), can we design a delay feedback control to make the controlled hybrid SDDE become asymptotically stable? If the feedback control is based on the current state, the stabilisation problem has been studied. However, there is little known wh...

The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the Hölder continuity in the temporal variable and the super-linear growth in the state variable. The strong convergence with the convergence rate is proved. Moreover, the strong convergence of the truncated EM...

For the sake of saving time and costs the feedback control based on discrete-time observations is used to stabilize the switching diffusion systems. Response lags are required by most of physical systems and play a key role in the feedback control. The aim of this paper is to design delay feedback control functions based on the discrete-time observ...

In this study, the authors consider how to use discrete‐time state feedback to stabilise hybrid stochastic differential delay equations. The coefficients of these stochastic differential delay equations do not satisfy the conventional linear growth conditions, but are highly non‐linear. Using the Lyapunov functional method, they show that a discret...

The main aim of this paper is to investigate the asymptotic stability of hybrid stochastic systems with pantograph delay and non-Gaussian Lévy noise (HSSwPDLNs). Under the local Lipschitz condition and non-linear growth condition, we investigate the existence and uniqueness of the solution to HSSwPDLNs. By using the Lyapunov functions and M-matrix...

In this paper, we introduce white noise, telegraph noise and time delay to the two-dimensional foraging arena population system describing the prey and predator abundance. The aim is to find out how the interactions between white noise, telegraph noise and time delay affect the dynamics of the population system. Firstly, the existence of a global p...

Consider a stochastic differential delay equation driven by G-Brownian motion (G-SDDE) dx(t)=f(x(t),x(t−τ))dt+g(x(t),x(t−τ))dB(t)+h(x(t),x(t−τ))d〈B〉(t). Under the global Lipschitz condition for the G-SDDE, we show that the G-SDDE is exponentially stable in mean square if and only if for sufficiently small step size, the Euler–Maruyama (EM) method i...

This paper reports the boundedness and stability of highly nonlinear hybrid neutral stochastic differential delay equations (NSDDEs) with multiple delays. Without imposing linear growth condition, the boundedness and exponential stability of the exact solution are investigated by Lyapunov functional method. In particular, using the M-matrix techniq...

In this paper, we introduce two perturbations in the classical deterministic susceptible-infected-susceptible epidemic model with two correlated Brownian motions. We consider two perturbations in the deterministic SIS model and formulate the original model as a stochastic differential equation with two correlated Brownian motions for the number of...

Given an unstable hybrid stochastic differential equation (SDE), can we design a feedback control, based on the discrete-time observations of the state at times
$0, \tau, 2\tau, \cdots$
, so that the controlled hybrid SDE becomes asymptotically stable? It has been proved that this is possible if the drift and diffusion coefficients of the given h...

This paper focuses on the general decay stability of nonlinear neutral stochastic pantograph equations with Markovian switching (NSPEwMSs). Under the local Lipschitz condition and non-linear growth condition, the existence and almost sure stability with general decay of the solution for NSPEwMSs are investigated. By means of M-matrix theory, some s...

A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function without delay terms, which enables one to construct the delay feedback control using the existing results on stab...

This paper is concerned with input-to-state stability of SFDSs. By using stochastic analysis techniques, Razumikhin techniques and vector Lyapunov function method, vector Razumikhin-type theorem has been established on input-to-state stability for SFDSs. Novel sufficient criteria on the pth moment exponential input-to-state stability are obtained b...

In this paper, we consider a generalized Ait-Sahalia interest rate model with Poisson jumps in finance. The analytical properties including positivity, boundedness and pathwise asymptotic estimations of the solution to this model are investigated. Moreover, we prove that the Euler–Maruyama (EM) numerical solution converges to the true solution of t...

Stability criteria for stochastic differential delay equations (SD-DEs) have been studied intensively for the past few decades. However, most of these criteria can only be applied to delay equations where their coefficients are either linear or nonlinear but bounded by linear functions. Recently, the stability of highly nonlinear hybrid stochastic...

This paper focuses on a predator-prey system with foraging arena scheme incorporating stochastic noises. This SDE model is generated from a deterministic framework by the stochastic parameter perturbation. We then study how the correlations of the environmental noises affect the long-time behaviours of the SDE model. Later on the existence of a sta...

We present a stochastic age-dependent population model that accounts for Markovian switching and variable delay. By using the approximate value at the nearest grid-point on the left of the delayed argument to estimate the delay function, we propose a class of split-step θ-method for solving stochastic delay age-dependent population equations (SDAPE...

Solving stochastic differential equations (SDEs) numerically, explicit Euler–Maruyama (EM) schemes are used most frequently under global Lipschitz conditions for both drift and diffusion coefficients. In contrast, without imposing the global Lipschitz conditions, implicit schemes are often used for SDEs but require additional computational effort;...

For the past few decades, the stability criteria for the stochastic differential delay equations (SDDEs) have been studied intensively. Most of these criteria can only be applied to delay equations where their coefficients are either linear or nonlinear but bounded by linear functions. Recently, the stability criterion for highly nonlinear hybrid s...

In this paper, we use the truncated Euler–Maruyama (EM) method to study the finite time strong convergence for SDEs with Poisson jumps under the Khasminskii-type condition. We establish the finite time L r (r≥2)-convergence order when the drift and diffusion coefficients satisfy the super-linear growth condition and the jump coefficient satisfies t...

In this paper, we introduce two perturbations in the classical deterministic susceptible–infected–susceptible epidemic model. Greenhalgh and Gray [4] in 2011 use a perturbation on β in SIS model. Based on their previous work, we consider another perturbation on the parameter μ+γ and formulate the original model as a stochastic differential equation...

This paper investigates the existence and uniqueness of solutions to neutral stochastic functional differential equations with pure jumps (NSFDEwPJs). The boundedness and almost sure exponential stability are also considered. In general, the classical existence and uniqueness theorem of solutions can be obtained under a local Lipschitz condition an...

This paper studies the numerical approximation to a class of non-autonomous stochastic differential equations with the H\"older continuity in the temporal variable and the super-linear growth in the state variable. The truncated Euler-Maruyama method is proved to be convergent to this type of stochastic differential equations. The convergence rate...

Our recent paper (Fei W, etal. Delay dependent stability of highly nonlinear hybrid stochastic systems. Automatica. 2017;82:165‐170) is the first to establish delay‐dependent criteria for highly nonlinear hybrid stochastic differential delay equations (SDDEs) (by highly nonlinear, we mean that the coefficients of the SDDEs do not have to satisfy th...

In this paper, we investigate the exponential stability of highly nonlinear hybrid neutral pantograph stochastic differential equations (NPSDEs). The aim of this paper is to establish exponential stability criteria for a class of hybrid NPSDEs without the linear growth condition. The methods of Lyapunov functions and M‐matrix are used to study expo...

In this paper, we consider the generalized Ait-Sahaliz interest rate model with Poisson jumps in finance. The analytical properties including the positivity, boundedness and pathwise asymptotic estimations of the solution to the model are investigated. Moreover, we prove that the Euler-Maruyama (EM) numerical solutions will converge to the true sol...

Recently, Mao (2015) developed a new explicit method, called the truncated Euler–Maruyama (EM) method, for the nonlinear SDE and established the strong convergence theory under the local Lipschitz condition plus the Khasminskii-type condition. In his another follow-up paper (Mao, 2016), he discussed the rates of Lq-convergence of the truncated EM m...

In this paper, we extend the foraging arena model describing the dynamics of prey-predator abundance from a deterministic framework to a stochastic one. This is achieved by introducing the environmental noises into the growth rate of prey as well as the death rate of predator populations. We then prove that this stochastic differential equation (SD...

The exponential stability of trivial solution and numerical solution for neutral stochastic functional differential equations (NSFDEs) with jumps is considered. The stability includes the almost sure exponential stability and the mean-square exponential stability. New conditions for jumps are proposed by means of the Borel measurable function to en...

Although the mean square stabilization of hybrid systems by feedback control based on discretetime observations of state and mode has been studied by several authors since 2013, the corresponding almost sure stabilization problem has received little attention. Recently, Mao was the first to study the almost sure stabilization of a given unstable sy...

The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were discussed by Mao (Appl. Math. Comput. 217, 5512–5524 2011), and the theory there showed that the Euler–Maruyama (EM) numerical solutions converge to the true solutions in probability. However, there is so far no result on...

In this paper, we use the truncated EM method to study the finite time strong convergence for the SDEs with Poisson jumps under the Khasminskii-type condition. We establish the finite time $ \mathcal L ^r (r \ge 2) $ convergence rate when the drift and diffusion coefficients satisfy super-linear condition and the jump coefficient satisfies the line...

Stability criteria for neutral stochastic differential delay equations (NSDDEs) have been studied intensively for the past several decades. Most of these criteria can only be applied to NSDDEs where their coefficients are either linear or nonlinear but bounded by linear functions. This paper is concerned with the stability of hybrid NSDDEs without...

The partially truncated Euler–Maruyama (EM) method was recently proposed in our earlier paper [3] for highly nonlinear stochastic differential equations (SDEs), where the finite-time strong Lr-convergence theory was established. In this note, we will point out that one condition imposed there is restrictive in the sense that this condition might fo...

This paper deals with the robust stabilization of continuous-time hybrid stochastic systems with time-varying delay by feedback controls based on discrete-time state observations. By employing the Razumikhin technique, delay-independent criteria to determine controllers and time lags are established just under a weaker condition that the time-varyi...

In this paper, we study the Carathéodory approximate solution for a class of doubly perturbed stochastic differential equations (DPSDEs). Based on the Carathéodory approximation procedure, we prove that DPSDEs have a unique solution and show that the Carathéodory approximate solution converges to the solution of DPSDEs under the global Lipschitz co...

Taking different structures in different modes into account, the paper has developed a new theory on the structured robust stability and boundedness for nonlinear hybrid stochastic differential delay equations (SDDEs) without the linear growth condition. A new Lyapunov function is designed in order to deal with the effects of different structures a...

This paper considers robust quantised feedback control for hybrid stochastic systems based on discrete-time state and mode observations. All of the existing results in this area design the quantised feedback control based on continuous observations of the state and mode for all time t ≥ 0. This is the first paper where we propose to use the quantis...

This paper is concerned with the stability problem of randomly switched systems. By using the probability analysis method, the almost surely globally asymptotical stability and almost surely exponential stability are investigated for switched systems with semi-Markovian switching, Markovian switching and renewal process switching signals, respectiv...

Recently, a kind of feedback control based on discrete-time state observations was proposed to stabilize continuous-time hybrid stochastic systems in the mean-square sense. We find that the feedback control there still depends on the continuous-time observations of the mode. However, it usually costs to identify the current mode of the system in pr...

This paper is concerned with the almost sure exponential stability of the n-dimensional nonlinear hybrid stochastic functional differential equation (SFDE) dx(t)=f(ψ1(xt,t),r(t),t)dt+g(ψ2(xt,t),r(t),t)dB(t), where xt=(x(t+u):-τ≤u≤0) is a C([-τ,0];Rn)-valued process, B(t) is an m-dimensional Brownian motion while r(t) is a Markov chain. We show that...

There are lots of papers on the delay dependent stability criteria for differential delay equations (DDEs), stochastic differential delay equations (SDDEs) and hybrid SDDEs. A common feature of these existing criteria is that they can only be applied to delay equations where their coefficients are either linear or nonlinear but bounded by linear fu...

Since Mao initiated the study of stabilization of continuous-time hybrid stochastic differential equations (SDEs) by feedback controls based on discrete-time state observations in 2013, many authors have further studied and developed it. However, so far no work on the pth moment stabilization has been reported. This paper is to investigate how to s...

Inspired by the truncated Euler-Maruyama method developed in Mao (J. Comput. Appl. Math. 2015), we propose the truncated Milstein method in this paper. The strong convergence rate is proved to be close to 1 for a class of highly non-linear stochastic differential equations. Numerical examples are given to illustrate the theoretical results.

In this paper, a general neutral stochastic functional differential equations with infinite delay and Lévy jumps (NSFDEwLJs) is studied. We investigate the existence and uniqueness of solutions to NSFDEwLJs at the phase space Cg\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepac...

In this paper, the Euler–Maruyama (EM) method with random variable stepsize is studied to reproduce the almost sure stability of the true solutions of stochastic differential equations. Since the choice of the time step is based on the current state of the solution, the time variable is proved to be a stopping time. Then the semimartingale converge...

The partially truncated Euler–Maruyama (EM) method is proposed in this paper for highly nonlinear stochastic differential equations (SDEs). We will not only establish the finite-time strong -convergence theory for the partially truncated EM method, but also demonstrate the real benefit of the method by showing that the method can preserve the asymp...

In this paper, we are concerned with the asymptotic properties and numerical analysis of the solution to hybrid stochastic differential equations with jumps. Applying the theory of M-matrices, we will study the pth moment asymptotic boundedness and stability of the solution. under the non-linear growth condition, we also show the convergence in pro...