Stability of a random diffusion with nonlinear drift

Fubao Xi

Statistics & Probability Letters, 2004, vol. 68, issue 3, 273-286

Abstract: For the solution to a rather general nonlinear stochastic differential equation with Markovian switching, we first prove its Feller continuity and the existence and uniqueness of invariant measure by the coupling method, then discuss its stability in total variation norm by the Foster-Lyapunov inequality.

Keywords: Coupling; Feller; continuity; Stability; Total; variation; Foster-Lyapunov; inequality (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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