The comparison theorem of stochastic differential equations has been investigated by many authors. However, little research is available on the comparison theorem of stochastic hybrid systems, which is the topic of this paper. The systems discussed is stochastic delay differential equations with Markovian switching. It is an important class of hybrid systems.
|Number of pages||7|
|Journal||Systems and Control Letters|
|Publication status||Published - 31 Jan 2008|
- Comparison theorem
- Stochastic differential equations with Markovian switching
- Brownian motion
- Markov chain