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On exponential stability of non-autonomous stochastic differential equations with Markovian switching

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  • Tran, Ky Q.
  • Le, Bich T.N.

Abstract

This paper is devoted to exponential stability of a class of non-autonomous stochastic differential equations with Markovian switching. By making use the time inhomogeneous property of the drift and diffusion coefficients, we derive sufficient and verifiable conditions for moment exponential stability and almost sure exponential stability. The contribution of the Markovian switching and time-inhomogeneous property to the stability is revealed. Two examples are provided to illustrate the effectiveness of our criteria.

Suggested Citation

  • Tran, Ky Q. & Le, Bich T.N., 2022. "On exponential stability of non-autonomous stochastic differential equations with Markovian switching," Statistics & Probability Letters, Elsevier, vol. 189(C).
    • Handle: RePEc:eee:stapro:v:189:y:2022:i:c:s0167715222001456
    DOI: 10.1016/j.spl.2022.109602
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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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