Stability of regime-switching diffusions

R.Z. Khasminskii, C. Zhu and G. Yin

Stochastic Processes and their Applications, 2007, vol. 117, issue 8, 1037-1051

Abstract: This work is devoted to stability of regime-switching diffusion processes. After presenting the formulation of regime-switching diffusions, the notion of stability is recalled, and necessary conditions for p-stability are obtained. Then main results on stability and instability for systems arising in approximation are presented. Easily verifiable conditions are established. An example is examined as a demonstration. A remark on linear systems is also provided.

Keywords: Regime-switching; diffusion; Stability; Necessary; condition; Sufficient; condition (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (19)

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