Stability of degenerate diffusions with state-dependent switching
Switching random diffusions \((X(t),\theta(t))\) are considered representing a hybrid system that arises in various applications of systems with multiple modes or failure modes. The continuous component \(X(t)\) satisfies a stochastic differential equation with coefficients depending on \(\theta(t)\), while the discrete component \(\theta(t)\) is a jump process with a transition matrix depending on \(X(t)\). This setting is much more general than in other papers where \(\theta(t)\) was regarded as a finite state Markov chain. Here, the Markovian nature of \(\theta(t)\) breaks down due to the mutual dependence of \(\theta(t)\) and \(X(t)\). Sufficient conditions are given which ensure the existence of a unique invariant probability and stability in distribution of the flow. The conditions depend on certain averaging mechanisms over the states of \(\theta(t)\). A particular case when \(\theta(t)\) is a given (not necessarily irreducible) Markov chain is indicated.
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