收稿日期: 2012-07-30
网络出版日期: 2012-09-01
基金资助
国家自然科学基金资助项目( 61273126, 60874114) ; 广东省自然科学基金重点资助项目( 10251064101000008)
General Decay Stability of Stochastic Differential Equations with Markovian Switching
Received date: 2012-07-30
Online published: 2012-09-01
Supported by
国家自然科学基金资助项目( 61273126, 60874114) ; 广东省自然科学基金重点资助项目( 10251064101000008)
关键词: 马尔可夫链; φ( t) 稳定; Euler Maruyama 方法; 随机系统
邓飞其 旷世芳 赵学艳 . 一般速率下马尔可夫调制随机系统的稳定性[J]. 华南理工大学学报(自然科学版), 2012 , 40(10) : 102 -108 . DOI: 1000-565X(2012)10-0102-07
It is worth pointing out that some stochastic systems are indeed stable but subject to a certain lower decay rate which is different from exponential decay,such as polynomial or logarithmic. For more accurate quantitative analyses of stability properties,this paper extends the usual exponential stability concepts to a more general stable decay function and investigates the general decay stability of stochastic differential equations with Markovian switching. Firstly,some φ( t) -stability criteria in p-th moment and almost surely sense for the analytical solutions are established,by utilizing ItÔ formula,Borel-Cantelli and martingale exponential inequalities. Then the Euler Maruyama method is shown to be effective in capturing φ( t) -stability behavior for all sufficiently small timesteps under appropriate conditions.
Key words: Markov chain; φ( t) -stability; Euler Maruyama method; stochastic systems
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