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
收藏
页码：259 / 270
页数：12
相关论文
共 50 条
  • [41] Exponential stability of Stochastic delay differential equations with Markovian switching
    Luo, JW
    Hou, ZT
    Zou, JZ
    DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS, 2003, : 125 - 129
  • [42] General decay stability of stochastic differential equations with Markovian switching
    Deng, F.-Q. (aufqdeng@scut.edu.cn), 1600, South China University of Technology (40):
  • [43] Exponential stability of impulsive stochastic differential equations with Markovian switching
    Tran, Ky Q.
    Nguyen, Dang H.
    SYSTEMS & CONTROL LETTERS, 2022, 162
  • [44] Stability in distribution of stochastic differential delay equations with Markovian switching
    Yuan, CG
    Zou, JZ
    Mao, XR
    SYSTEMS & CONTROL LETTERS, 2003, 50 (03) : 195 - 207
  • [45] Numerical solutions of Stochastic control problems for regime-switching systems
    Song, Q. S.
    Yin, G.
    Zhang, Z.
    DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES A-MATHEMATICAL ANALYSIS, 2006, 13 : 385 - 398
  • [46] Asymptotic stability in distribution of stochastic differential equations with Markovian switching
    Yuan, CG
    Mao, XR
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2003, 103 (02) : 277 - 291
  • [47] On stability in distribution of stochastic differential delay equations with Markovian switching
    Nguyen Huu Du
    Nguyen Hai Dang
    Nguyen Thanh Dieu
    SYSTEMS & CONTROL LETTERS, 2014, 65 : 43 - 49
  • [48] Stability of stochastic functional differential equations with random switching and applications
    Du, Nguyen H.
    Nguyen, Dang H.
    Nguyen, Nhu N.
    Yin, George
    AUTOMATICA, 2021, 125
  • [49] Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model
    Donnelly, Catherine
    APPLIED MATHEMATICS AND OPTIMIZATION, 2011, 64 (02): : 155 - 169
  • [50] Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model
    Catherine Donnelly
    Applied Mathematics & Optimization, 2011, 64 : 155 - 169
12345