Stability of a random diffusion with nonlinear drift

For the solution to a rather general nonlinear stochastic differential equation with Markovian switching, we first prove its Feller continuity and the existence and uniqueness of invariant measure by the coupling method, then discuss its stability in total variation norm by the Foster-Lyapunov inequality.

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Year of publication:	2004
Authors:	Xi, Fubao
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 68.2004, 3, p. 273-286
Publisher:	Elsevier
Keywords:	Coupling Feller continuity Stability Total variation Foster-Lyapunov inequality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319206