Stability in Terms of Two Measures for Stochastic Differential Equations with Markovian Switching |
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| Authors: | Chenggui Yuan |
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| Institution: | 1. Department of Mathematics , University of Wales Swansea , Swansea, U.K C.Yuan@swansea.ac.uk |
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| Abstract: | Abstract In this paper, we investigate the stability in terms of two measures for stochastic differential equations with Markovian switching by using the method of Lyapunov functions. Our new theory can not only be used to show a given system to be stochastically stable in the classical sense, but can also be used to deal with some situations where the classical stability theory is not applicable. |
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| Keywords: | In terms of two measures Itô formula Markov chain Stochastic stability |
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