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

Efraim Shmerling; Kenneth J. Hochberg

doi:10.1080/17442500802006436

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

Efraim Shmerling
, Kenneth J. Hochberg

Department of Mathematics

Ariel University

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

24 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 language	English
Pages (from-to)	513-518
Number of pages	6
Journal	Stochastics
Volume	80
Issue number	6
DOIs	https://doi.org/10.1080/17442500802006436
State	Published - Dec 2008

Keywords

Asymptotic stability
Jump-parameter system
Semi-Markov process

Access to Document

10.1080/17442500802006436

Cite this

@article{90fcfd05f18846308f797a346e4a99bf,

title = "Stability of stochastic jump-parameter semi-Markov linear systems of differential equations",

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.",

keywords = "Asymptotic stability, Jump-parameter system, Semi-Markov process",

author = "Efraim Shmerling and Hochberg, \{Kenneth J.\}",

year = "2008",

month = dec,

doi = "10.1080/17442500802006436",

language = "אנגלית",

volume = "80",

pages = "513--518",

journal = "Stochastics",

issn = "1744-2508",

publisher = "Gordon and Breach Science Publishers",

number = "6",

}

TY - JOUR

T1 - Stability of stochastic jump-parameter semi-Markov linear systems of differential equations

AU - Shmerling, Efraim

AU - Hochberg, Kenneth J.

PY - 2008/12

Y1 - 2008/12

N2 - 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.

AB - 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.

KW - Asymptotic stability

KW - Jump-parameter system

KW - Semi-Markov process

UR - https://www.scopus.com/pages/publications/54549114996

U2 - 10.1080/17442500802006436

DO - 10.1080/17442500802006436

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:54549114996

SN - 1744-2508

VL - 80

SP - 513

EP - 518

JO - Stochastics

JF - Stochastics

IS - 6

ER -

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

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this