Stability of stochastic differential equations with Markovian switching

Mao, Xuerong (1999) Stability of stochastic differential equations with Markovian switching. Stochastic Processes and their Applications, 79 (1). pp. 45-67. ISSN 0304-4149 (https://doi.org/10.1016/S0304-4149(98)00070-2)

Abstract

Stability of stochastic differential equations with Markovian switching has recently received a lot of attention. For example, stability of linear or semi-linear type of such equations has been studied by Basak et al. (1996, J. Math. Anal. Appl. 202, 604-622), Ji and Chizeck (1990, Automat. Control 35, 777-788) and Mariton (1990, Jump Linear Systems in Automatic Control, Marcel Dekker, New York). The aim of this paper is to discuss the exponential stability for general nonlinear stochastic differential equations with Markovian switching.

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• Item metadata

  Item type:	Article
  ID code:	57412
  Dates:	Date Event 1 January 1999 Published
  Subjects:	Science > Mathematics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	15 Aug 2016 10:31
  Last modified:	08 Apr 2024 22:48
  Related URLs:	Scopus publication
  URI:	https://strathprints.strath.ac.uk/id/eprint/57412