Stability of stochastic differential equations with Markovian switching
Stability of stochastic differential equations with Markovian switching has recently received a lot of attention. For example, stability of linear or semi-linear type of such equations has been studied by Basak et al. (1996, J. Math. Anal. Appl. 202, 604-622), Ji and Chizeck (1990, Automat. Control 35, 777-788) and Mariton (1990, Jump Linear Systems in Automatic Control, Marcel Dekker, New York). The aim of this paper is to discuss the exponential stability for general nonlinear stochastic differential equations with Markovian switching.
Year of publication: |
1999
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Authors: | Mao, Xuerong |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 79.1999, 1, p. 45-67
|
Publisher: |
Elsevier |
Keywords: | Lyapunov exponent Generalized Ito's formula Brownian motion Markov chain generator M-matrix |
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