Stability for some linear stochastic fractional systems

Abstract

We obtain a closed expression for the solution of a linear Volterra integral equation with an additive Hölder continuous noise, which is a fractional Young integral, and with a function as initial condition. This solution is given in terms of the Mittag-Leffler function. Then we study the stability of the solution via the fractional calculus. As an application we analyze the stability in the mean of some stochastic fractional integral equations with a functional of the fractional Brownian motion as an additive noise.