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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 80, 2008 - Issue 6
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Original Articles

Stability of stochastic jump-parameter semi-Markov linear systems of differential equations

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Pages 513-518 | Received 17 Nov 2005, Accepted 20 Feb 2008, Published online: 20 Oct 2008
 

Abstract

The asymptotic stability of stochastic Itô-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.

2000 Mathematics Subject Classification:

Notes

1. Email: [email protected]

Additional information

Notes on contributors

Efraim Shmerling

1. 1. Email: [email protected]

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