Stability of stochastic jump-parameter semi-Markov linear systems of differential equations

Efraim Shmerling, Kenneth J. Hochberg

Research output: Contribution to journalArticlepeer-review

22 Scopus citations

Abstract

The asymptotic stability of stochastic Ito-type jump-parameter semi-Markov systems of linear differential equations is examined. A system of integral matrix equations is derived which has the property that the existence of a positive definite solution of the system implies the asymptotic stability of the stochastic semi-Markov system. Finally, an illustrative example is presented.

Original languageEnglish
Pages (from-to)513-518
Number of pages6
JournalStochastics
Volume80
Issue number6
DOIs
StatePublished - Dec 2008

Keywords

  • Asymptotic stability
  • Jump-parameter system
  • Semi-Markov process

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