Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching

Xuerong Mao; Yi Shen; Chenggui Yuan; EPSRC (U.K.) (Funder); National Natural Science Foundation of China (Funder)

doi:10.1016/j.spa.2007.09.005

Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching

Xuerong Mao, Yi Shen, Chenggui Yuan, EPSRC (U.K.) (Funder), National Natural Science Foundation of China (Funder)

Mathematics And Statistics

Research output: Contribution to journal › Article › peer-review

115 Citations (Scopus)

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Abstract

The main aim of this paper is to discuss the almost surely asymptotic stability of the neutral stochastic differential delay equations (NSDDEs) with Markovian switching. Linear NSDDEs with Markovian switching and nonlinear examples will be discussed to illustrate the theory.

Original language	English
Pages (from-to)	1385-1406
Number of pages	21
Journal	Stochastic Processes and their Applications
Volume	118
Issue number	8
Early online date	22 Sep 2007
DOIs	https://doi.org/10.1016/j.spa.2007.09.005
Publication status	Published - Aug 2008

Keywords

asymptotic stability
exponential stability
generalized It^o formula
Brownian motion
Markov chain.

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166_SPA_Mao.pdfAccepted author manuscript, 204 KB

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ASYMPTOTIC STABILITY OF NEURAL-TYPE STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS
Mao, X.
EPSRC (Engineering and Physical Sciences Research Council)
Project: Research

Cite this

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title = "Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching",

abstract = "The main aim of this paper is to discuss the almost surely asymptotic stability of the neutral stochastic differential delay equations (NSDDEs) with Markovian switching. Linear NSDDEs with Markovian switching and nonlinear examples will be discussed to illustrate the theory.",

keywords = "asymptotic stability, exponential stability, generalized It^o formula, Brownian motion, Markov chain.",

author = "Xuerong Mao and Yi Shen and Chenggui Yuan and {EPSRC (U.K.) (Funder)} and {National Natural Science Foundation of China (Funder)}",

note = "change of date",

year = "2008",

month = aug,

doi = "10.1016/j.spa.2007.09.005",

language = "English",

volume = "118",

pages = "1385--1406",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

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Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching. / Mao, Xuerong; Shen, Yi; Yuan, Chenggui; EPSRC (U.K.) (Funder); National Natural Science Foundation of China (Funder).

In: Stochastic Processes and their Applications, Vol. 118, No. 8, 08.2008, p. 1385-1406.

Research output: Contribution to journal › Article › peer-review

TY - JOUR

T1 - Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching

AU - Mao, Xuerong

AU - Shen, Yi

AU - Yuan, Chenggui

AU - EPSRC (U.K.) (Funder)

AU - National Natural Science Foundation of China (Funder)

N1 - change of date

PY - 2008/8

Y1 - 2008/8

N2 - The main aim of this paper is to discuss the almost surely asymptotic stability of the neutral stochastic differential delay equations (NSDDEs) with Markovian switching. Linear NSDDEs with Markovian switching and nonlinear examples will be discussed to illustrate the theory.

AB - The main aim of this paper is to discuss the almost surely asymptotic stability of the neutral stochastic differential delay equations (NSDDEs) with Markovian switching. Linear NSDDEs with Markovian switching and nonlinear examples will be discussed to illustrate the theory.

KW - asymptotic stability

KW - exponential stability

KW - generalized It^o formula

KW - Brownian motion

KW - Markov chain.

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DO - 10.1016/j.spa.2007.09.005

M3 - Article

VL - 118

SP - 1385

EP - 1406

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

IS - 8

ER -

Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching

Abstract

Keywords

Access to Document

ASYMPTOTIC STABILITY OF NEURAL-TYPE STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS

Cite this