Title of article :
Noise suppresses exponential growth under regime switching
Author/Authors :
Hu، نويسنده , , Guangda and Liu، نويسنده , , Mingzhu and Mao، نويسنده , , Xuerong and Song، نويسنده , , Minghui، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2009
Pages :
13
From page :
783
To page :
795
Abstract :
Consider a given system under regime switching whose solution grows exponentially, and suppose that the system is subject to environmental noise in some regimes. Can the regime switching and the environmental noise work together to make the system change significantly? The answer is yes. In this paper, we will show that the regime switching and the environmental noise will make the original system whose solution grows exponentially become a new system whose solutions will grow at most polynomially. In other words, we reveal that the regime switching and the environmental noise will suppress the exponential growth.
Keywords :
stochastic differential equation , stochastic control , Polynomial growth , Markov chain , Brownian motion , Exponential growth
Journal title :
Journal of Mathematical Analysis and Applications
Serial Year :
2009
Journal title :
Journal of Mathematical Analysis and Applications
Record number :
1560282
Link To Document :
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