Asymptotic stability in distribution of stochastic differential equations with Markovian switching

被引：146

作者：

Yuan, CG

Mao, XR ^{[1
]}

机构：

[1] Univ Strathclyde, Dept Stat & Modelling Sci, Glasgow G1 1XH, Lanark, Scotland

[2] Cent S Univ, Changsha 410075, Peoples R China

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2003年 / 103卷 / 02期

关键词：

generalized Ito's formula; Brownian motion; Markov chain; asymptotic stability in distribution;

D O I：

10.1016/S0304-4149(02)00230-2

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 been discussed by many authors, for example, Basak et al. (J. Math. Anal. Appl. 202 (1996) 604), Ji and Chizeck (IEEE Trans. Automat. Control 35 (1990) 777), Mariton (Jump Linear System in Automatic Control, Marcel Dekker, New York), Mao (Stochastic Process. Appl. 79 (1999) 45), Mao et at. (Bernoulli 6 (2000) 73) and Shaikhet (Theory Stochastic Process. 2 (1996) 180), to name a few. The aim of this paper is to study the asymptotic stability in distribution of nonlinear stochastic differential equations with Markovian switching. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：277 / 291

页数：15

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