Stability of regime-switching diffusions

被引：168
|
作者：
Khasminskii, R. Z. [1 ]
Zhu, C. [1 ]
Yin, G. [1 ]
机构：
[1] Wayne State Univ, Dept Math, Detroit, MI 48202 USA
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2007年 / 117卷 / 08期
基金：
美国国家科学基金会;
关键词：
regime-s witching diffusion; stability; necessary condition; sufficient condition;
D O I：
10.1016/j.spa.2006.12.001
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：
This work is devoted to stability of regime-switching diffusion processes. After presenting the formulation of regime-switching diffusions, the notion of stability is recalled, and necessary conditions for p-stability are obtained. Then main results on stability and instability for systems arising in approximation are presented. Easily verifiable conditions are established. An example is examined as a demonstration. A remark on linear systems is also provided. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：1037 / 1051
页数：15
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