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Noise expresses exponential growth under regime switching

Hu, Guangda and Liu, Mingzhu and Mao, Xuerong and Song, Minghui and , National Natural Science Foundation of China (Funder) and , University of Science and Technology, Beijing (Funder) and , Harbin Institute of Technology (Funder) (2009) Noise expresses exponential growth under regime switching. Systems and Control Letters, 58 (9). pp. 691-699. ISSN 0167-6911

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Abstract

Consider a given system under regime switching whose solution grows at most polynomially, and suppose that the system is subject to environmental noise in some regimes. Can the regime switching and the environmental noise work together to make the system change signicantly? The answer is yes. In this paper, we will show that the regime switching and the environmental noise will make the original system whose solution grows at most polynomially become a new system whose solution will grow exponentially. In other words, we reveal that the regime switching and the environmental noise will exppress the exponential growth.

Item type: Article
ID code: 14018
Keywords: brownian motion, markov chain, stochastic differential equation, stochastic perturbation, exponential growth, polynomial growth, Mathematics, Mechanical Engineering, Control and Systems Engineering, Electrical and Electronic Engineering, Computer Science(all)
Subjects: Science > Mathematics
Department: Faculty of Science > Mathematics and Statistics
Depositing user: Mrs Carolynne Westwood
Date Deposited: 11 Jan 2010 16:43
Last modified: 27 Mar 2015 00:56
URI: http://strathprints.strath.ac.uk/id/eprint/14018

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