Stability of a random diffusion with nonlinear drift

DOI10.1016/j.spl.2004.03.010zbMath1071.60070OpenAlexW2095380615MaRDI QIDQ1771427

Fu-bao Xi

Publication date: 21 April 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.03.010

zbMATH Keywords

total variationcouplingFeller continuityFoster-Lyapunov inequality

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (14)

Stochastic Liénard equations with state-dependent switching ⋮ Asymptotic properties of jump-diffusion processes with state-dependent switching ⋮ On the stability of diffusion processes with state-dependent switching ⋮ Exponential ergodicity for regime-switching diffusion processes in total variation norm ⋮ Coupling for Markovian switching jump-diffusions ⋮ Successful couplings for diffusion processes with state-dependent switching ⋮ Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity ⋮ Feller property for a special hybrid jump-diffusion model ⋮ Feller property and exponential ergodicity of diffusion processes with state-dependent switching ⋮ On the stability of jump-diffusions with Markovian switching ⋮ Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching ⋮ Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process ⋮ On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes ⋮ Coupling and Exponential Convergence Rate for Markovian Switching Jump Diffusions

Cites Work

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• Stability in distribution for a class of singular diffusions
• Coupling methods for multidimensional diffusion processes
• Stability of stochastic differential equations with Markovian switching
• Stability of a random diffusion with linear drift
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• On stability of nonlinear AR processes with Markov switching
• Positive Operators on C(X)

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