Stochastic Stability of Ito Differential Equations With Semi-Markovian Jump Parameters

Peng Shi; Nguang Sing Kiong; Zhenting Hou; Luo Jiaowan

doi:10.1109/TAC.2006.878746

Stochastic Stability of Ito Differential Equations With Semi-Markovian Jump Parameters

Peng Shi, Nguang Sing Kiong, Zhenting Hou, Luo Jiaowan

Faculty of Computing, Engineering and Science

Research output: Contribution to journal › Article › peer-review

Abstract

In this note, the problem of stochastic stability for linear systems with jump parameters being semi-Markovian rather than full Markovian is further investigated. In particular, the system under consideration is described by Itô type nonlinear stochastic differential equations with phase type semi-Markovian jump parameters. Stochastic stability conditions are presented.

Original language	English
Journal	Automatic Control, IEEE Transactions
Volume	51
Issue number	8
DOIs	https://doi.org/10.1109/TAC.2006.878746
Publication status	Published - 14 Aug 2006

Keywords

stochastic differential equations
semi-markovian jump parameters
stochastic stability

Access to Document

10.1109/TAC.2006.878746Licence: CC BY-NC-ND

Cite this

@article{6026a74f9c3e4a20944b3d3c4c0abe40,

title = "Stochastic Stability of Ito Differential Equations With Semi-Markovian Jump Parameters",

abstract = "In this note, the problem of stochastic stability for linear systems with jump parameters being semi-Markovian rather than full Markovian is further investigated. In particular, the system under consideration is described by It{\^o} type nonlinear stochastic differential equations with phase type semi-Markovian jump parameters. Stochastic stability conditions are presented.",

keywords = "stochastic differential equations, semi-markovian jump parameters, stochastic stability",

author = "Peng Shi and Kiong, {Nguang Sing} and Zhenting Hou and Luo Jiaowan",

year = "2006",

month = aug,

day = "14",

doi = "10.1109/TAC.2006.878746",

language = "English",

volume = "51",

journal = "Automatic Control, IEEE Transactions",

issn = "0018-9286",

publisher = "Institute of Electrical and Electronics Engineers",

number = "8",

}

TY - JOUR

T1 - Stochastic Stability of Ito Differential Equations With Semi-Markovian Jump Parameters

AU - Shi, Peng

AU - Kiong, Nguang Sing

AU - Hou, Zhenting

AU - Jiaowan, Luo

PY - 2006/8/14

Y1 - 2006/8/14

N2 - In this note, the problem of stochastic stability for linear systems with jump parameters being semi-Markovian rather than full Markovian is further investigated. In particular, the system under consideration is described by Itô type nonlinear stochastic differential equations with phase type semi-Markovian jump parameters. Stochastic stability conditions are presented.

AB - In this note, the problem of stochastic stability for linear systems with jump parameters being semi-Markovian rather than full Markovian is further investigated. In particular, the system under consideration is described by Itô type nonlinear stochastic differential equations with phase type semi-Markovian jump parameters. Stochastic stability conditions are presented.

KW - stochastic differential equations

KW - semi-markovian jump parameters

KW - stochastic stability

U2 - 10.1109/TAC.2006.878746

DO - 10.1109/TAC.2006.878746

M3 - Article

SN - 0018-9286

VL - 51

JO - Automatic Control, IEEE Transactions

JF - Automatic Control, IEEE Transactions

IS - 8

ER -

Stochastic Stability of Ito Differential Equations With Semi-Markovian Jump Parameters

Abstract

Keywords

Access to Document

Fingerprint

Cite this