Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching (Q1719361)
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English | Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching |
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Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching (English)
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8 February 2019
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Summary: We develop exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching modeled by a continuous-time Markov chain which has a large state space. To overcome the computational effort and the complexity, we split the large-scale system into several classes and lump the states in each class into one class by the different states of changes of the subsystems; then, we give a limit system to effectively ``replace'' the large-scale system. Under suitable conditions, using the stability of the limit system as a bridge, the desired asymptotic properties of the large-scale system with Brownian motion and Poisson jump are obtained by utilizing perturbed Lyapunov function methods and Razumikhin-type criteria. Two examples are provided to demonstrate our results.
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