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Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions (1706.03684v2)
Published 12 Jun 2017 in math.PR
Abstract: This work is devoted to almost sure and moment exponential stability of regime-switching jump diffusions. The Lyapunov function method is used to derive sufficient conditions for stabilities for general nonlinear systems; which further helps to derive easily verifiable conditions for linear systems. For one-dimensional linear regime-switching jump diffusions, necessary and sufficient conditions for almost sure and $p$th moment exponential stabilities are presented. Several examples are provided for illustration.
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