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Received:March 05, 2007Revised:April 16, 2007 |
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Practical stability and instability of regime-switching diffusions |
G. George YIN, Bo ZHANG, Chao ZHU |
(Department of Mathematics, Wayne State University, Detroit, MI 48202, USA; School of Statistics, Renmin University of China, Beijing 100872, China; Department of Mathematical Sciences, University of Wisconsin-Milwaukee, Milwaukee, WI 53201, USA) |
Abstract: |
This work is devoted to practical stability of a class of regime-switching diffusions. First, the notion of practical stability is introduced. Then, sufficient conditions for practical stability and practical instability in probability and in pth mean are provided using a Lyapunov function argument. In addition, easily verifiable conditions on drift and diffusion coefficients are also given. Moreover, examples are supplied for demonstration purposes. |
Key words: Regime-switching diffusion Practical stability Practical instability Sufficient condition |