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Asymptotic methods for stability analysis of Markov dynamical systems with fast variables

Lookup NU author(s): Dr Jordan Stoyanov

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Abstract

We study a general class of SDEs perturbed by a Markov process and containing a fast component. The goal is to find the asymptotic behavior of the solution. We combine different ideas and prove that under wide conditions such a system is exponentially stable.

Publication metadata

Author(s): Carkovs J, Stoyanov J

Editor(s): Kabanov, Yu; Liptser, R; Stoyanov, J

Publication type: Book Chapter

Publication status: Published

Book Title: From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift

Year: 2006

Pages: 91-108

Publisher: Springer

Place Published: Berlin

URL: http://dx.doi.org/10.1007/978-3-540-30788-4_5

DOI: 10.1007/978-3-540-30788-4_5

Library holdings: Search Newcastle University Library for this item

ISBN: 9783540307822

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