Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions
Probability
2017-08-10 v2
Abstract
This work is devoted to almost sure and moment exponential stability of regime-switching jump diffusions. The Lyapunov function method is used to derive sufficient conditions for stabilities for general nonlinear systems; which further helps to derive easily verifiable conditions for linear systems. For one-dimensional linear regime-switching jump diffusions, necessary and sufficient conditions for almost sure and th moment exponential stabilities are presented. Several examples are provided for illustration.
Keywords
Cite
@article{arxiv.1706.03684,
title = {Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions},
author = {Zhen Chao and Kai Wang and Chao Zhu and Yanling Zhu},
journal= {arXiv preprint arXiv:1706.03684},
year = {2017}
}