A note on stability in distribution of Markov-modulated stochastic differential equations with reflection

DOI10.1016/J.CAMWA.2011.03.088zbMATH Open1222.60040OpenAlexW2095710687MaRDI QIDQ640496FDOQ640496

Authors: Chenggui Yuan, Lijun Bo 

Publication date: 18 October 2011

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.03.088

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zbMATH Keywords

stability in distributionclosed positive orthantreflected SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability of solutions to ordinary differential equations (34D20) Ordinary differential equations and systems with randomness (34F05) Stochastic stability in control theory (93E15)

Cites Work

• Title not available (Why is that?)
• Properties of the reflected Ornstein-Uhlenbeck process
• Stability of stochastic differential equations with Markovian switching
• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Stochastic differential delay equations with Markovian switching
• A diffusion approximation for a Markovian queue with reneging
• Drift rate control of a Brownian processing system
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Transient behavior of regulated Brownian motion, II: Non-zero initial conditions
• On the first passage times of reflected O-U processes with two-sided barriers
• Diffusion approximation for open state-dependent queueing networks in the heavy traffic situation
• The Markov modulated regulated Brownian motion: A second-order fluid flow model of a finite buffer
• Monotonicity properties of multi-dimensional reflected diffusions in random environment and applications
• A reflected diffusion process in a regime-switching environment

Cited In (2)

• On pricing barrier control in a regime-switching regulated market
• Stability in distribution of Markov-modulated stochastic differential delay equations with reflection

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