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46,017
Exponential Stability of Stochastic Differential Delay Equations
, 1994
"... : In this paper we study both pth moment and almost sure exponential stability of the stochastic differential delay equation dx(t)=f(t;x(t);x(t\Gammaø))dt+g(t;x(t);x(t\Gammaø))dw(t). Introduce the corresponding stochastic differential equation (without delay) dx(t)=f(t;x(t);x(t))dt+ g(t;x(t);x(t))dw ..."
Abstract
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Cited by 114 (46 self)
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: In this paper we study both pth moment and almost sure exponential stability of the stochastic differential delay equation dx(t)=f(t;x(t);x(t\Gammaø))dt+g(t;x(t);x(t\Gammaø))dw(t). Introduce the corresponding stochastic differential equation (without delay) dx(t)=f(t;x(t);x(t))dt+ g
Stochastic Differential Delay Equations with Markovian Switching
"... In this paper we discuss stochastic differential delay equations with MarkovJan switching. Such an equation can be regarded as the result of several stochastic differential delay equations switching from one to the others according to the movement of a Markov chain. One of the main aims of this p ..."
Abstract
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Cited by 17 (6 self)
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In this paper we discuss stochastic differential delay equations with MarkovJan switching. Such an equation can be regarded as the result of several stochastic differential delay equations switching from one to the others according to the movement of a Markov chain. One of the main aims
Robust Stability of Uncertain Stochastic Differential Delay Equations
- Syst. Contr. Lett
, 1998
"... In this paper we first discuss the robust stability of uncertain linear stochastic differential delay equations. We then extend the theory to cope with the robust stability of uncertain semi-linear stochastic differential delay equations. We shall also give several examples to illustrate our theo ..."
Abstract
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Cited by 12 (0 self)
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In this paper we first discuss the robust stability of uncertain linear stochastic differential delay equations. We then extend the theory to cope with the robust stability of uncertain semi-linear stochastic differential delay equations. We shall also give several examples to illustrate our
Neutral Stochastic Differential Delay Equations with Markovian Switching
"... Neutral stochastic differential delay equations (NSDDEs) have recently been studied intensively (see Kolmanovskii, V.B. and Nosov, V.R., ..."
Abstract
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Cited by 2 (0 self)
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Neutral stochastic differential delay equations (NSDDEs) have recently been studied intensively (see Kolmanovskii, V.B. and Nosov, V.R.,
Optimal control of stochastic differential delay equations
"... This paper is devoted to the study of optimal control of stochastic differential delay equations (SDDEs). By using the Dynkin formula and solution of the Dirichlet-Poisson problem we derive the Hamilton-Jacobi-Bellman equation for the SDDEs and find optimal control. ..."
Abstract
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This paper is devoted to the study of optimal control of stochastic differential delay equations (SDDEs). By using the Dynkin formula and solution of the Dirichlet-Poisson problem we derive the Hamilton-Jacobi-Bellman equation for the SDDEs and find optimal control.
Attraction, stability and boundedness for stochastic differential delay equations
"... Abstract: So far there are not many results on the attractor for the solutions of stochastic differential delay equations. The main aim of this paper is to establish new results on the attractor, from which follow several new criteria on the almost surely asymptotic stability for stochastic differen ..."
Abstract
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Cited by 4 (0 self)
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Abstract: So far there are not many results on the attractor for the solutions of stochastic differential delay equations. The main aim of this paper is to establish new results on the attractor, from which follow several new criteria on the almost surely asymptotic stability for stochastic
Optimal control of stochastic differential delay equations
- Applied Math. Letters
, 2003
"... Abstract. The paper is devoted to the study of optimal control of stochastic differential delay equations and their applications. By using the Dynkin formula and solution of the Dirichlet-Poisson problem, the Hamilton-Jacobi-Bellman (HJB) equation and the inverse HJB equation are derived. Applicatio ..."
Abstract
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Cited by 4 (2 self)
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Abstract. The paper is devoted to the study of optimal control of stochastic differential delay equations and their applications. By using the Dynkin formula and solution of the Dirichlet-Poisson problem, the Hamilton-Jacobi-Bellman (HJB) equation and the inverse HJB equation are derived
Asymptotic Properties of Neutral Stochastic Differential Delay Equations
"... This paper discusses asymptotic properties, especially asymptotic stability of neutral stochastic differential delay equations. New techniques are developed to cope with the neutral delay case, and the results of this paper are more general than the author's earlier work within the delay equati ..."
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Cited by 3 (2 self)
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This paper discusses asymptotic properties, especially asymptotic stability of neutral stochastic differential delay equations. New techniques are developed to cope with the neutral delay case, and the results of this paper are more general than the author's earlier work within the delay
Results 1 - 10
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46,017
