Robust stability and controllability of stochastic differential delay equations with Markovian switching

Chenggui Yuan; Xuerong Mao

doi:10.1016/j.automatica.2003.10.012

Robust stability and controllability of stochastic differential delay equations with Markovian switching

Chenggui Yuan^*, Xuerong Mao

^*Corresponding author for this work

Mathematics And Statistics

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

269 Citations (Scopus)

Abstract

In this paper, we investigate the almost surely asymptotic stability for the nonlinear stochastic differential delay equations with Markovian switching. Some sufficient criteria on the controllability and robust stability are also established for linear stochastic differential delay equations with Markovian switching.

Original language	English
Pages (from-to)	343-354
Number of pages	12
Journal	Automatica
Volume	40
Issue number	3
DOIs	https://doi.org/10.1016/j.automatica.2003.10.012
Publication status	Published - 1 Mar 2004

Keywords

asymptotic stability
controllability
generalised Itô's formula
robust stability

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10.1016/j.automatica.2003.10.012

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title = "Robust stability and controllability of stochastic differential delay equations with Markovian switching",

abstract = "In this paper, we investigate the almost surely asymptotic stability for the nonlinear stochastic differential delay equations with Markovian switching. Some sufficient criteria on the controllability and robust stability are also established for linear stochastic differential delay equations with Markovian switching.",

keywords = "asymptotic stability, controllability, generalised It{\^o}'s formula, robust stability",

author = "Chenggui Yuan and Xuerong Mao",

year = "2004",

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doi = "10.1016/j.automatica.2003.10.012",

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T1 - Robust stability and controllability of stochastic differential delay equations with Markovian switching

AU - Yuan, Chenggui

AU - Mao, Xuerong

PY - 2004/3/1

Y1 - 2004/3/1

N2 - In this paper, we investigate the almost surely asymptotic stability for the nonlinear stochastic differential delay equations with Markovian switching. Some sufficient criteria on the controllability and robust stability are also established for linear stochastic differential delay equations with Markovian switching.

AB - In this paper, we investigate the almost surely asymptotic stability for the nonlinear stochastic differential delay equations with Markovian switching. Some sufficient criteria on the controllability and robust stability are also established for linear stochastic differential delay equations with Markovian switching.

KW - asymptotic stability

KW - controllability

KW - generalised Itô's formula

KW - robust stability

UR - http://www.scopus.com/inward/record.url?scp=1642525869&partnerID=8YFLogxK

U2 - 10.1016/j.automatica.2003.10.012

DO - 10.1016/j.automatica.2003.10.012

M3 - Article

AN - SCOPUS:1642525869

SN - 0005-1098

VL - 40

SP - 343

EP - 354

JO - Automatica

JF - Automatica

IS - 3

ER -

Robust stability and controllability of stochastic differential delay equations with Markovian switching

Abstract

Keywords

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