Stochastic differential delay equations with Markovian switching (Q1975192): Difference between revisions
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Revision as of 12:08, 14 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Stochastic differential delay equations with Markovian switching |
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Stochastic differential delay equations with Markovian switching (English)
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2 March 2001
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Suppose we are given \(N\) stochastic differential delay equations and a Markov chain with state space \(\{1,\dots,N\}\). If the chain is in the state \(i\), then the evolution of the system is described by the \(i\)th equation. The authors obtain results on the exponential stability of the system, both in the \(p\)th moment sense and almost sure.
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Brownian motion
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Markov chain
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stochastic equation with delay
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exponential stability
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