Asymptotic stability in distribution of stochastic differential equations with Markovian switching

Yuan, Chenggui and Mao, Xuerong (2003) Asymptotic stability in distribution of stochastic differential equations with Markovian switching. Stochastic Processes and their Applications, 103 (2). pp. 277-291. ISSN 0304-4149 (https://doi.org/10.1016/S0304-4149(02)00230-2)

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.

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• Item metadata

  Item type:	Article
  ID code:	57380
  Dates:	Date Event 1 February 2003 Published
  Subjects:	Science > Mathematics > Probabilities. Mathematical statistics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	11 Aug 2016 16:02
  Last modified:	08 Apr 2024 22:48
  Related URLs:	Scopus publication
  URI:	https://strathprints.strath.ac.uk/id/eprint/57380