Stochastic differential delay equations with Markovian switching
Mao, Xuerong ; Matasov, Alexander ; Piunovskiy, Aleksey B.
Bernoulli, Tome 6 (2000) no. 6, p. 73-90 / Harvested from Project Euclid
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In this paper we discuss stochastic differential delay equations with Markovian switching. These can be regarded as the result of several stochastic differential delay equations switching among each other according to the movement of a Markov chain. One of the main aims of this paper is to investigate the exponential stability of the equations.
Publié le : 2000-02-14
Classification:  Brownian motion,  delay equation,  generalized Itôformula,  Lyapunov exponent,  Markov chain 
@article{1082665381,
     author = {Mao, Xuerong and Matasov, Alexander and Piunovskiy, Aleksey B.},
     title = {Stochastic differential delay equations with Markovian switching},
     journal = {Bernoulli},
     volume = {6},
     number = {6},
     year = {2000},
     pages = { 73-90},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1082665381}
}

Mao, Xuerong; Matasov, Alexander; Piunovskiy, Aleksey B. Stochastic differential delay equations with Markovian switching. Bernoulli, Tome 6 (2000) no. 6, pp.  73-90. http://gdmltest.u-ga.fr/item/1082665381/