Stability of a random diffusion with nonlinear drift
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.
Volume (Year): 68 (2004)
Issue (Month): 3 (July)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mao, Xuerong, 1999. "Stability of stochastic differential equations with Markovian switching," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 45-67, January.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:68:y:2004:i:3:p:273-286. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.