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

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.