Analysis of Noise under Regime Switching

Abstract

In this paper we consider a stochastic nonlinear system under regime switching. Given a system*x(t)=f(x(t),r(t),t)* in which f satisfies so-called one-side polynomial growth condition. We introduce two Brownian noise feedbacks and stochastically perturb this system into *dx(t)=(x(t),r(t),t)dt+ σ (r(t))|x(t)|*^{β}x(t)dW_{1}(t)+q(r(t))x(t)dW_{2}(t) . It can be proved that appropriate noise intensity may suppress the potentially explode in a finite time and ensure that this system is almost surely exponentially stable although the corresponding system without Brownian noise perturbation may be unstable system.

In this paper we consider a stochastic nonlinear system under regime switching. Given a system

Keywords

Hybrid System, One-Side Polynomial Growth Condition, Ito Formula, Stochastic Ultimate Boundedness

Hybrid System, One-Side Polynomial Growth Condition, Ito Formula, Stochastic Ultimate Boundedness

Cite this paper

nullL. Bai and X. Li, "Analysis of Noise under Regime Switching,"*Applied Mathematics*, Vol. 2 No. 7, 2011, pp. 836-842. doi: 10.4236/am.2011.27112.

nullL. Bai and X. Li, "Analysis of Noise under Regime Switching,"

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