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Stability of regime-switching stochastic differential equations

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Abstract

The main result is reduction of the asymptotic stability problem for a stochastic differential equation (SDE) with sufficiently rapid Markovian switching to the analogous wellstudied problem for the “averaged” SDE without switching. Applications to the switching stabilization problem and to ordinary differential equations (ODE) with switching are also considered.

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Authors and Affiliations

  1. Kharkevich Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow, Russia

    R. Z. Khasminskii

  2. Department of Mathematics, Wayne State University, Detroit, USA

    R. Z. Khasminskii

Authors
  1. R. Z. Khasminskii
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Correspondence to R. Z. Khasminskii.

Additional information

Original Russian Text © R.Z. Khasminskii, 2012, published in Problemy Peredachi Informatsii, 2012, vol. 48, No. 3, pp. 70–82.

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Khasminskii, R.Z. Stability of regime-switching stochastic differential equations. Probl Inf Transm 48, 259–270 (2012). https://doi.org/10.1134/S0032946012030064

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  • DOI: https://doi.org/10.1134/S0032946012030064

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