Stability of coupled jump diffusions and applications

DOI10.1016/J.JDE.2023.09.032MaRDI QIDQ6140098zbMATH OpenFDO

Authors

Publication date 19 January 2024

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.08866

coupled switching jump diffusion Lyapunov exponent optimal control stability stabilization

Diffusion processes (60J60) Jump processes on general state spaces (60J76) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15)

Abstract: This paper develops stability and stabilization results for systems of fully coupled jump diffusions. Such systems frequently arise in numerous applications where each subsystem (component) is operated under the influence of other subsystems (components). This paper derives sufficient conditions under which the underlying coupled jump diffusion is stable. The results are then applied to investigate the stability of linearizable jump diffusions, fast-slow coupled jump diffusions. Moreover, weak stabilization of interacting systems and consensus of leader-following systems are examined.

Review text

In contrast to the existing works on stability of jump-diffusion processes (see, for example, \textit{I.-S. Wee}, Stochastic Processes Appl. 80, No. 2, 193--209 (1999; Zbl 0962.60046), \textit{R. Atar} and \textit{A. Budhiraja}, Electron. J. Probab. 7, Paper No. 22, 31 p. (2002; Zbl 1011.60061), \textit{D. Filipović} et al., Stochastics 82, No. 4--6, 475--520 (2010; Zbl 1230.60066), \textit{Z. Chao} et al., SIAM J. Control Optim. 55, No. 6, 3458--3488 (2017; Zbl 1374.60151), \textit{X. Chen} et al., Bernoulli 25, No. 2, 1045--1075 (2019; Zbl 1440.60075), \textit{X. Chen} et al., Appl. Math. Optim. 80, No. 2, 415--445 (2019; Zbl 1439.60072), \textit{G. Yin} and \textit{F. Xi}, SIAM J. Control Optim. 48, No. 7, 4525--4549 (2010; Zbl 1210.60089), \textit{X. Zong} et al., SIAM J. Control Optim. 52, No. 4, 2595--2622 (2014; Zbl 1390.34230)), this work focuses on stability and stabilization of a fully coupled system of jump diffusions where two jump-diffusion components interact with each other. The authors investigate the coupled jump-diffusion processes \(\mathbf{X}_1(t)\) and \( \mathbf{X}_2(t)\) in \({\mathbb{R}^{\ell_1}}\), \({\mathbb{R}^{\ell_2}}\), respectively, where \({\mathbb{R}^{\ell_1}}\) and \({\mathbb{R}^{\ell_2}}\) are two Euclidean spaces of dimensions \(\ell_1>0\) and \(\ell_2>0\). Specifically, the pair \((\mathbf{X}_1(t), \mathbf{X}_2(t))\) is the solution of the system of equations \[ \begin{cases} \displaystyle d\mathbf{X}_1(t)=b_1(\mathbf{X}_1(t), \mathbf{X}_2(t))dt +\sigma_1(\mathbf{X}_1(t), \mathbf{X}_2(t))d\mathbf{W}_1(t)+ \int_{{{{\mathbb{R}}}^{n_1}_*}} \gamma_1(\mathbf{X}_1(t-),\mathbf{X}_2(t-), {\boldsymbol{\phi}}) {{\widetilde{\mathbf{N_1}}}}(dt,d{\boldsymbol{\phi}}), \\ \displaystyle d\mathbf{X}_2(t)=b_2(\mathbf{X}_1(t), \mathbf{X}_2(t))dt+ \sigma_2(\mathbf{X}_1(t), \mathbf{X}_2(t))d\mathbf{W}_2(t)+ \int_{{{{\mathbb{R}}}^{n_2}_*}} \gamma_2(\mathbf{X}_1(t-),\mathbf{X}_2(t-),{\boldsymbol{\phi}}) {{\widetilde{\mathbf{N_2}}}}(dt,d{\boldsymbol{\phi}}),\\ \displaystyle \mathbf{X}_1(0)={{\mathbf{x}}}_1,\quad \mathbf{X}_2(0)={{\mathbf{x}}}_2, \end{cases} \] where, for \(i=1,2\), \({\mathbf{W}}_i(t)\) are standard \({\mathbb{R}}^{d_i}\)-valued Brownian motions; \(\mathbf{N}_i(dt, d{\boldsymbol{\phi}})\), \(i=1,2\), are corresponding to a random point process \(p(t)\) Poisson random measures independent of \({\mathbf{W}}_1(t)\), \({\mathbf{W}}_2(t)\), and \({{\widetilde{\mathbf{N_i}}}}(dt, d{\boldsymbol{\phi}}) = \mathbf{N}_i(dt, d{\boldsymbol{\phi}}) - {\boldsymbol{\nu_i}}(d{\boldsymbol{\phi}})dt\) are the compensated Poisson random measures on \([0, \infty) \times \mathbb R_*^{n_i}\) with \(\mathbb R_*^{n_i}:=\mathbb R^{n_i}\setminus\{\mathbf 0\}\); \(b_1:{\mathbb{R}^{\ell_1}}\times{\mathbb{R}^{\ell_2}}\to{\mathbb{R}^{\ell_1}}\) and \(b_2:{\mathbb{R}^{\ell_1}}\times{\mathbb{R}^{\ell_2}}\to{\mathbb{R}^{\ell_2}}\) are smooth functions; \(\sigma_1: {\mathbb{R}_1^{\ell_1}} \times {\mathbb{R}_2^{\ell_2}} \to {\mathbb{R}}^{\ell_1 \times d_1}\) and \(\sigma_2: {\mathbb{R}_1^{\ell_1}} \times {\mathbb{R}_2^{\ell_2}} \to {\mathbb{R}}^{\ell_2 \times d_2}\); \(\gamma_1:{\mathbb{R}^{\ell_1}}\times{\mathbb{R}^{\ell_2}} \times{{\mathbb{R}}}_*^{n_1}\to {{\mathbf{X}}}\), \(\gamma_2: {\mathbb{R}^{\ell_1}}\times{\mathbb{R}^{\ell_2}} \times{{\mathbb{R}}}_*^{n_2}\to{{\mathbf{Y}}}\) are measurable functions. It is assumed that \[ b_2({{\mathbf{x}}}_1,{{\mathbf{0}}})={{\mathbf{0}}},\ \sigma_2({{\mathbf{x}}}_1,{{\mathbf{0}}})={{\mathbf{0}}},\ \gamma_2({{\mathbf{x}}}_1,{{\mathbf{0}}},{\boldsymbol{\phi}})={{\mathbf{0}}}, \] where \({\mathbf{0}}\) denotes a zero vector with appropriate dimension. In this case \({{\mathbf{0}}}\) is an equilibrium point of \({{\mathbf{X}}}_2(t)\). The authors derived sufficient conditions under which the equilibrium point \({{\mathbf{0}}}\) or the trivial solution of \({{\mathbf{X}}}_2(t)\) is stable. Using the derived results, they investigate the stability of linearizable jump diffusions and fast-slow coupled jump diffusions. An algorithm for weak stabilization of weakly stabilizing a coupled system in which only one component can be controlled is proposed.

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