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Stability in Terms of Two Measures for Stochastic Differential Equations with Markovian Switching
Author:
Chenggui Yuan a
| Affiliation: | a Department of Mathematics, University of Wales Swansea, Swansea, U.K |
DOI:
10.1080/07362990500292742
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
23,
Issue
6
November
2005
, pages 1259
- 1276
Stochastic Analysis and Applications,
Volume
23,
Issue
6
November
2005
, pages 1259
- 1276
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(English)
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Abstract
In this paper, we investigate the stability in terms of two measures for stochastic differential equations with Markovian switching by using the method of Lyapunov functions. Our new theory can not only be used to show a given system to be stochastically stable in the classical sense, but can also be used to deal with some situations where the classical stability theory is not applicable.
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Keywords:
In terms of two measures;
It formula;
Markov chain;
Stochastic stability
|
| Mathematics Subject Classification: 93E15 |
| view references (17) |
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