Stability and Recurrence of Regime-Switching Diffusion Processes
From MaRDI portal
Publication:5244628
DOI10.1137/140962905zbMath1312.60094arXiv1503.02234OpenAlexW2963288287MaRDI QIDQ5244628
Publication date: 27 March 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.02234
Stochastic stability in control theory (93E15) Diffusion processes (60J60) Probabilistic measure theory (60A10) Continuous-time Markov processes on discrete state spaces (60J27)
Related Items (33)
Approximation of invariant measures for regime-switching diffusions ⋮ Ergodicity and first passage probability of regime-switching geometric Brownian motions ⋮ On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators ⋮ Variational formula for the stability of regime-switching diffusion processes ⋮ Explicit criteria for moment exponential stability and instability of switching diffusions with Lévy noise ⋮ Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons ⋮ On Foster–Lyapunov criteria for exponential ergodicity of regime-switching jump diffusion processes with countable regimes ⋮ Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space ⋮ Evolving systems of stochastic differential equations ⋮ Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions ⋮ Ergodicity of Regime-Switching Functional Diffusions with Infinite Delay and Application to a Numerical Algorithm for Stochastic Optimization ⋮ Ergodicity and stability of hybrid systems with piecewise constant type state-dependent switching ⋮ Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching ⋮ Stabilization of complex-valued stochastic coupled systems with multiple time delays and regime-switching jump diffusion via periodically intermittent control ⋮ Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations ⋮ Strong convergence rate for slow-fast stochastic differential equations with Markovian switching ⋮ Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions ⋮ Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations II: State-Dependent Case ⋮ Stability Verification for a Class of Stochastic Hybrid Systems by Semidefinite Programming ⋮ Recurrence and ergodicity of switching diffusions with past-dependent switching having a countable state space ⋮ Recurrence for switching diffusion with past dependent switching and countable state space ⋮ Permanence and Extinction of Regime-Switching Predator-Prey Models ⋮ Stability of regime-switching processes under perturbation of transition rate matrices ⋮ Stability of regime-switching jump diffusion processes ⋮ Regime-switching diffusion processes: strong solutions and strong Feller property ⋮ Stability of Regime-Switching Diffusion Systems with Discrete States Belonging to a Countable Set ⋮ Modeling and Analysis of Switching Diffusion Systems: Past-Dependent Switching with a Countable State Space ⋮ On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes ⋮ Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions ⋮ Recurrence and ergodicity for A class of regime-switching jump diffusions ⋮ Exponential ergodicity and steady-state approximations for a class of markov processes under fast regime switching ⋮ On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes ⋮ Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices
This page was built for publication: Stability and Recurrence of Regime-Switching Diffusion Processes
