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Stochastic Stability of Ito Differential Equations With Semi-Markovian Jump Parameters

2006; Institute of Electrical and Electronics Engineers; Volume: 51; Issue: 8 Linguagem: Inglês

10.1109/tac.2006.878746

2334-3303

Zhanyuan Hou, Jinnan Luo, Peng Shi, Sing Kiong Nguang,

Stochastic processes and financial applications

In this note, the problem of stochastic stability for linear systems with jump parameters being semi-Markovian rather than full Markovian is further investigated. In particular, the system under consideration is described by Ito type nonlinear stochastic differential equations with phase type semi-Markovian jump parameters. Stochastic stability conditions are presented