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Exponential contraction of switching jump diffusions with a hidden Markov chain

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  • Tran, Ky Quan

Abstract

This paper is concerned with the exponential contraction of Markovian switching jump diffusions that involve a partially observed Markov chain. For such partially observed problems, we use a Wonham filter to estimate the Markov chain from the observable evolution of the given process, and convert the original system to a completely observable one. We then establish sufficient conditions of feedback controls for exponential contraction in mean square and almost sure exponential contraction.

Suggested Citation

  • Tran, Ky Quan, 2021. "Exponential contraction of switching jump diffusions with a hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 178(C).
    • Handle: RePEc:eee:stapro:v:178:y:2021:i:c:s016771522100153x
    DOI: 10.1016/j.spl.2021.109191
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    References listed on IDEAS

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    1. 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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    Cited by:

    1. Linda Boudjemila & Alexander Bobyl & Vadim Davydov & Vladislav Malyshkin, 2022. "On a Moving Average with Internal Degrees of Freedom," Papers 2211.14075, arXiv.org.

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