Solution of jump parameter systems of differential and difference equations with semi-Markov coefficients

Efraim Shmerling; Kenneth J. Hochberg

doi:10.1239/jap/1053003555

Solution of jump parameter systems of differential and difference equations with semi-Markov coefficients

Efraim Shmerling
, Kenneth J. Hochberg

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

We study linear jump parameter systems of differential and difference equations whose coefficients depend on the state of a semi-Markov process. We derive systems of equations for the first two moments of the random solutions of these jump parameter systems, and illustrate how moment equations can be used in examining their asymptotic stability.

Original language	English
Pages (from-to)	442-454
Number of pages	13
Journal	Journal of Applied Probability
Volume	40
Issue number	2
DOIs	https://doi.org/10.1239/jap/1053003555
State	Published - Jun 2003

Keywords

Jump parameter system
Semi-Markov process

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10.1239/jap/1053003555

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title = "Solution of jump parameter systems of differential and difference equations with semi-Markov coefficients",

abstract = "We study linear jump parameter systems of differential and difference equations whose coefficients depend on the state of a semi-Markov process. We derive systems of equations for the first two moments of the random solutions of these jump parameter systems, and illustrate how moment equations can be used in examining their asymptotic stability.",

keywords = "Jump parameter system, Semi-Markov process",

author = "Efraim Shmerling and Hochberg, \{Kenneth J.\}",

year = "2003",

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AB - We study linear jump parameter systems of differential and difference equations whose coefficients depend on the state of a semi-Markov process. We derive systems of equations for the first two moments of the random solutions of these jump parameter systems, and illustrate how moment equations can be used in examining their asymptotic stability.

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KW - Semi-Markov process

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Solution of jump parameter systems of differential and difference equations with semi-Markov coefficients

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Keywords

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