Asymptotic separation between solutions of Caputo fractional stochastic differential equations

Using a temporally weighted norm, we first establish a result on the global existence and uniqueness of solutions for Caputo fractional stochastic differential equations of order α ∈ (1/2, 1), whose coefficients satisfy a standard Lipschitz condition. For this class of systems, we then show that the asymptotic distance between two distinct solutions is greater than t− 2α/1−α −ε as t → ∞ for any ϵ > 0. As a consequence, the mean square Lyapunov exponent of an arbitrary non-trivial solution of a bounded linear Caputo fractional stochastic differential equation is always non-negative. © 2018, © 2018 Taylor & Francis Group, LLC.