Stability of stochastic differential equations with Markovian switching

被引：712
|
作者：
Mao, XR [1 ]
机构：
[1] Univ Strathclyde, Dept Stat & Modelling Sci, Glasgow G1 1XH, Lanark, Scotland
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1999年 / 79卷 / 01期
关键词：
Lyapunov exponent; generalized Ito's formula; Brownian motion; Markov chain generator; M-matrix;
D O I：
10.1016/S0304-4149(98)00070-2
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Stability of stochastic differential equations with Markovian switching has recently received a lot of attention. For example, stability of linear or semi-linear type of such equations has been studied by Basak et al. (1996, J. Math. Anal. Appl. 202, 604-622), Ji and Chizeck (1990, Automat. Control 35, 777-788) and Mariton (1990, Jump Linear Systems in Automatic Control, Marcel Dekker, Ne Lv York). The aim of this paper is to discuss the exponential stability for general nonlinear stochastic differential equations with Markovian switching. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：45 / 67
页数：23
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