Moment bounds and ergodicity of switching diffusion systems involving two-time-scale Markov chains

被引：5

作者：

Li, Xiaoyue ^{[1
]}

Wang, Rui ^{[1
,2
]}

Yin, George ^{[3
]}

机构：

[1] Northeast Normal Univ, Sch Math & Stat, Changchun 130024, Jilin, Peoples R China

[2] Univ Kansas, Dept Econ, Lawrence, KS 66045 USA

[3] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

来源：

SYSTEMS & CONTROL LETTERS | 2019年 / 132卷

基金：

中国国家自然科学基金;

关键词：

Local Lipschitz condition; Moment boundedness; Singularly perturbed Markov chain; Invariant measure; STABILITY;

D O I：

10.1016/j.sysconle.2019.104514

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This work is concerned with stochastic differential equations with regime switching modulated by a two-time-scale Markov chain involving fast and slow motions. Using the perturbed Lyapunov function methods and stochastic analysis, we obtain moment boundedness. Then we further provide sufficient conditions under which the measures of the original system converge to the invariant measure of the limiting system. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：7

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