On the exponential stability of switching-diffusion processes with jumps

DOI10.1090/S0033-569X-2012-01292-8zbMATH Open1274.60209arXiv1109.1380OpenAlexW2591623883MaRDI QIDQ4922286FDOQ4922286

Authors: Chenggui Yuan, Jianhai Bao 

Publication date: 29 May 2013

Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)

Abstract: In this paper we focus on the pathwise stability of mild solutions for a class of stochastic partial differential equations which are driven by switching-diffusion processes with jumps. In comparison to the existing literature, we show that: (i) the criterion to guarantee pathwise stability does not rely on the moment stability of the system; (ii) the sample Lyapunov exponent obtained is generally smaller than that of the counterpart driven by a Wiener process; (iii) due to the Markovian switching the overall system can become pathwise exponentially stable although some subsystems are not stable.

Full work available at URL: https://arxiv.org/abs/1109.1380

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zbMATH Keywords

sample Lyapunov exponentexponential martingale inequality with jumpspathwise stabilityLévy noise

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

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Cited In (13)

• Stability in distribution and stabilization of switching jump diffusions
• Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
• A self-exciting switching jump diffusion: properties, calibration and hitting time
• Periodic measures for a class of SPDEs with regime-switching
• Delay tolerance for stable hybrid stochastic differential equations with Lévy noise based on Razumikhin technique
• Exponential contraction of switching jump diffusions with a hidden Markov chain
• A note on stability of SPDEs driven by \(\alpha\)-stable noises
• On the averaging principle for stochastic delay differential equations with jumps
• On almost sure stability conditions of linear switching stochastic differential systems
• Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
• Explicit criteria for moment exponential stability and instability of switching diffusions with Lévy noise
• Almost sure stability and instability for switching-jump-diffusion systems with state-dependent switching
• Approximate solutions for a class of doubly perturbed stochastic differential equations

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