Exponential contraction of switching jump diffusions with a hidden Markov chain

Ky Quan Tran

Statistics & Probability Letters, 2021, vol. 178, issue C

Abstract: This paper is concerned with the exponential contraction of Markovian switching jump diffusions that involve a partially observed Markov chain. For such partially observed problems, we use a Wonham filter to estimate the Markov chain from the observable evolution of the given process, and convert the original system to a completely observable one. We then establish sufficient conditions of feedback controls for exponential contraction in mean square and almost sure exponential contraction.

Keywords: Switching jump diffusions; Almost sure exponential contraction; Exponential contraction in mean square; Hidden Markov chain; Feedback control (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2021.109191

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