Title :
On hybrid diffusions
Author :
Zhu, C. ; Yin, G.
Author_Institution :
Dept. of Math. Sci., Univ. of Wisconsin-Milwaukee, Milwaukee, WI, USA
Abstract :
For the pressing needs in control and optimization using hybrid systems, this work focuses on weak stochastic stability and ergodicity of regime-switching diffusions. Using Liapunov functions, we derive necessary and sufficient conditions for weak stability. Then, ergodicity of weakly stable regime-switching diffusions is obtained by constructing cycles using the associated discrete-time Markov chains.
Keywords :
Lyapunov methods; Markov processes; discrete time systems; stochastic systems; Liapunov functions; discrete-time Markov chains; hybrid diffusions; hybrid systems; regime-switching diffusion ergodicity; weak stochastic stability; Control systems; Filtration; Optimal control; Partial differential equations; Pressing; Stability; Stochastic processes; Stochastic systems; Sufficient conditions; Time measurement; Liapunov function; Switching diffusion; ergodicity; positive recurrence; weak stochastic stability;
Conference_Titel :
Decision and Control, 2008. CDC 2008. 47th IEEE Conference on
Conference_Location :
Cancun
Print_ISBN :
978-1-4244-3123-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2008.4739497
