Almost sure exponential stability of hybrid stochastic functional differential equations (Q1682117): Difference between revisions
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English | Almost sure exponential stability of hybrid stochastic functional differential equations |
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Almost sure exponential stability of hybrid stochastic functional differential equations (English)
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28 November 2017
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This paper is concerned with almost sure exponential stability of an \(n\)-dimensional nonlinear hybrid stochastic functional differential equation (SFDE) modelled by a Markov chain. Under Lipschitz condition, the authors show that if the corresponding hybrid SDE is almost surely exponentially stable, then there exists a positive number \(\tau^*\) such that the SFDE is also almost surely exponentially stable if \(\tau<\tau^*\). They also describe a method to determine \(\tau^*\) which can be computed numerically. Several special classes of hybrid SFDEs are discussed.
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stability
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hybrid stochastic differential functional equations
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Itô formula
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Brownian motion
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Markov chain
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