Stability of regime-switching diffusions

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...

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Bibliographic Details
Published in:Stochastic processes and their applications 2007-08, Vol.117 (8), p.1037-1051
Main Authors: Khasminskii, R.Z., Zhu, C., Yin, G.
Format: Article
Language:English
Subjects:
Exact sciences and technology
Markov processes
Mathematics
Necessary condition
Probability and statistics
Probability theory and stochastic processes
Regime-switching diffusion
Regime-switching diffusion Stability Necessary condition Sufficient condition
Sciences and techniques of general use
Stability
Stochastic analysis
Stochastic processes
Sufficient condition
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Summary: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.
ISSN:0304-4149
1879-209X
DOI:10.1016/j.spa.2006.12.001