TY - JOUR
T1 - Stability of stochastic jump-parameter semi-Markov linear systems of differential equations
AU - Shmerling, Efraim
AU - Hochberg, Kenneth J.
PY - 2008/12
Y1 - 2008/12
N2 - The asymptotic stability of stochastic Ito-type jump-parameter semi-Markov systems of linear differential equations is examined. A system of integral matrix equations is derived which has the property that the existence of a positive definite solution of the system implies the asymptotic stability of the stochastic semi-Markov system. Finally, an illustrative example is presented.
AB - The asymptotic stability of stochastic Ito-type jump-parameter semi-Markov systems of linear differential equations is examined. A system of integral matrix equations is derived which has the property that the existence of a positive definite solution of the system implies the asymptotic stability of the stochastic semi-Markov system. Finally, an illustrative example is presented.
KW - Asymptotic stability
KW - Jump-parameter system
KW - Semi-Markov process
UR - http://www.scopus.com/inward/record.url?scp=54549114996&partnerID=8YFLogxK
U2 - 10.1080/17442500802006436
DO - 10.1080/17442500802006436
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AN - SCOPUS:54549114996
SN - 1744-2508
VL - 80
SP - 513
EP - 518
JO - Stochastics
JF - Stochastics
IS - 6
ER -