On exponential stability of non-autonomous stochastic differential equations with Markovian switching

Ky Q. Tran and Bich T.N. Le

Statistics & Probability Letters, 2022, vol. 189, issue C

Abstract: This paper is devoted to exponential stability of a class of non-autonomous stochastic differential equations with Markovian switching. By making use the time inhomogeneous property of the drift and diffusion coefficients, we derive sufficient and verifiable conditions for moment exponential stability and almost sure exponential stability. The contribution of the Markovian switching and time-inhomogeneous property to the stability is revealed. Two examples are provided to illustrate the effectiveness of our criteria.

Keywords: Markovian switching; Moment exponential stability; Almost sure exponential stability; Non-autonomous stochastic differential equation (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2022.109602

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