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Stability of regime-switching diffusions

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  • Khasminskii, R.Z.
  • Zhu, C.
  • Yin, G.

Abstract

This work is devoted to stability of regime-switching diffusion processes. After presenting the formulation of regime-switching diffusions, the notion of stability is recalled, and necessary conditions for p-stability are obtained. Then main results on stability and instability for systems arising in approximation are presented. Easily verifiable conditions are established. An example is examined as a demonstration. A remark on linear systems is also provided.

Suggested Citation

  • Khasminskii, R.Z. & Zhu, C. & Yin, G., 2007. "Stability of regime-switching diffusions," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 1037-1051, August.
    • Handle: RePEc:eee:spapps:v:117:y:2007:i:8:p:1037-1051
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    References listed on IDEAS

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    1. Yuan, Chenggui & Mao, Xuerong, 2003. "Asymptotic stability in distribution of stochastic differential equations with Markovian switching," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 277-291, February.
    2. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    3. Mao, Xuerong, 1999. "Stability of stochastic differential equations with Markovian switching," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 45-67, January.
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