Stability of regime-switching diffusions

被引：173

作者：

Khasminskii, R. Z. ^{[1
]}

Zhu, C. ^{[1
]}

Yin, G. ^{[1
]}

机构：

[1] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2007年 / 117卷 / 08期

基金：

美国国家科学基金会;

关键词：

regime-s witching diffusion; stability; necessary condition; sufficient condition;

D O I：

10.1016/j.spa.2006.12.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This work is devoted to stability of regime-switching diffusion processes. After presenting the formulation of regime-switching diffusions, the notion of stability is recalled, and necessary conditions for p-stability are obtained. Then main results on stability and instability for systems arising in approximation are presented. Easily verifiable conditions are established. An example is examined as a demonstration. A remark on linear systems is also provided. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：1037 / 1051

页数：15

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