ASYMPTOTIC STABILITY CONDITION FOR STOCHASTIC MARKOVIAN SYSTEMS OF DIFFERENTIAL EQUATIONS

被引：0
|
作者：
Shmerling, Efraim [1 ]
机构：
[1] Ariel Univ, Ctr Samaria, Ariel, Israel
来源：
MATHEMATICA BOHEMICA | 2010年 / 135卷 / 04期
关键词：
jump parameter system; Markov process; asymptotic stability;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Asymptotic stability of the zero solution for stochastic jump parameter systems of differential equations given by dX(t) = A(xi(iota))X(iota) dt + H(xi(t))X(iota) dw(t), where xi(t) is a finite-valued Markov process and w(t) is a standard Wiener process, is considered. It is proved that the existence of a unique positive solution of the system of coupled Lyapunov matrix equations derived in the paper is a necessary asymptotic stability condition.
引用
收藏
页码：443 / 448
页数：6
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