Asymptotic stability in distribution of stochastic differential equations with Markovian switching

Chenggui Yuan, Xuerong Mao

Research output: Contribution to journalArticle

122 Citations (Scopus)

Abstract

Stability of stochastic differential equations with Markovian switching has recently been discussed by many authors, for example, Basak et al. (J. Math. Anal. Appl. 202 (1996) 604), Ji and Chizeck (IEEE Trans. Automat. Control 35 (1990) 777), Mariton (Jump Linear System in Automatic Control, Marcel Dekker, New York), Mao (Stochastic Process. Appl. 79 (1999) 45), Mao et al. (Bernoulli 6 (2000) 73) and Shaikhet (Theory Stochastic Process. 2 (1996) 180), to name a few. The aim of this paper is to study the asymptotic stability in distribution of nonlinear stochastic differential equations with Markovian switching. 

LanguageEnglish
Pages277-291
Number of pages15
JournalStochastic Processes and their Applications
Volume103
Issue number2
DOIs
Publication statusPublished - 1 Feb 2003

Fingerprint

Markovian Switching
Asymptotic stability
Random processes
Asymptotic Stability
Stochastic Equations
Differential equations
Stochastic Processes (theory)
Differential equation
Jump Linear Systems
Automatic Control
Bernoulli
Linear systems
Stochastic Processes
Stochastic processes
Stochastic differential equations
Jump

Keywords

  • asymptotic stability in distribution
  • Brownian motion
  • generalized Itô's formula
  • Markov chain

Cite this

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Asymptotic stability in distribution of stochastic differential equations with Markovian switching. / Yuan, Chenggui; Mao, Xuerong.

In: Stochastic Processes and their Applications, Vol. 103, No. 2, 01.02.2003, p. 277-291.

Research output: Contribution to journalArticle

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