Stochastic differential delay equations with Markovian switching

被引：196

作者：

Mao, XR ^{[1
]}

Matasov, A

Piunovskiy, AB

机构：

[1] Univ Strathclyde, Dept Stat & Modelling Sci, Glasgow G1 1XH, Lanark, Scotland

[2] Moscow MV Lomonosov State Univ, Fac Mech & Math, Moscow, Russia

[3] Moscow State Inst Phys & Technol, Moscow 125206, Russia

来源：

BERNOULLI | 2000年 / 6卷 / 01期

关键词：

Brownian motion; delay equation; generalized Ito's formula; Lyapunov exponent; Markov chain;

D O I：

10.2307/3318634

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：

In this paper we discuss stochastic differential delay equations with Markovian switching. These can be regarded as the result of several stochastic differential delay equations switching among each other according to the movement of a Markov chain. One of the main aims of this paper is to investigate the exponential stability of the equations.

引用

页码：73 / 90

页数：18

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