4.4 Article

Stochastic differential delay equations with Markovian switching

期刊

BERNOULLI
卷 6, 期 1, 页码 73-90

出版社

INT STATISTICAL INST
DOI: 10.2307/3318634

关键词

Brownian motion; delay equation; generalized Ito's formula; Lyapunov exponent; Markov chain

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In this paper we discuss stochastic differential delay equations with Markovian switching. These can be regarded as the result of several stochastic differential delay equations switching among each other according to the movement of a Markov chain. One of the main aims of this paper is to investigate the exponential stability of the equations.

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