Stability of regime-switching stochastic differential equations

被引：6

作者：

Khasminskii, R. Z. ^{[1
,2
]}

机构：

[1] Russian Acad Sci, Kharkevich Inst Informat Transmiss Problems, Moscow 117901, Russia

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

来源：

PROBLEMS OF INFORMATION TRANSMISSION | 2012年 / 48卷 / 03期

关键词：

SYSTEMS;

D O I：

10.1134/S0032946012030064

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

The main result is reduction of the asymptotic stability problem for a stochastic differential equation (SDE) with sufficiently rapid Markovian switching to the analogous wellstudied problem for the "averaged" SDE without switching. Applications to the switching stabilization problem and to ordinary differential equations (ODE) with switching are also considered.

引用

页码：259 / 270

页数：12

共 50 条

[1] Stability of regime-switching stochastic differential equations
R. Z. Khasminskii
Problems of Information Transmission, 2012, 48 : 259 - 270
[2] Backward stochastic differential equations with regime-switching and sublinear expectations
Dela Vega, Engel John C.
Elliott, Robert J.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2022, 148 : 278 - 298
[3] RECURRENCE AND PERIODICITY FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH REGIME-SWITCHING JUMP DIFFUSIONS
Gao, Yue
Jiang, Xiaomeng
Li, Yong
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2024, 29 (06): : 2679 - 2709
[4] Periodicity for stochastic lattice equations with regime-switching
Gao, Yue
Yang, Xue
JOURNAL OF MATHEMATICAL PHYSICS, 2024, 65 (12)
[5] Stochastic differential games with controlled regime-switching
Ma, Chenglin
Zhao, Huaizhong
COMPUTATIONAL & APPLIED MATHEMATICS, 2024, 43 (04):
[6] Stability of Stochastic Functional Differential Equations with Regime-Switching: Analysis Using Dupire’s Functional Itô Formula
Dang Hai Nguyen
George Yin
Potential Analysis, 2020, 53 : 247 - 265
[7] Stability of Stochastic Functional Differential Equations with Regime-Switching: Analysis Using Dupire's Functional Ito Formula
Nguyen, Dang Hai
Yin, George
POTENTIAL ANALYSIS, 2020, 53 (01) : 247 - 265
[8] Stability of regime-switching diffusions
Khasminskii, R. Z.
Zhu, C.
Yin, G.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2007, 117 (08) : 1037 - 1051
[9] Continuous Dependence for Stochastic Functional Differential Equations with State-Dependent Regime-Switching on Initial Values
Jing Hai SHAO
Kun ZHAO
ActaMathematicaSinica,EnglishSeries, 2021, (03) : 389 - 407
[10] Continuous Dependence for Stochastic Functional Differential Equations with State-Dependent Regime-Switching on Initial Values
Jing Hai Shao
Kun Zhao
Acta Mathematica Sinica, English Series, 2021, 37 : 389 - 407

← 1 2 3 4 5 →