stochastic functional differential equation under regime switching随机泛函微分方程在政权转换.pdf

Hindawi Publishing Corporation Discrete Dynamics in Nature and Society Volume 2012, Article ID 206438, 20 pages doi:10.1155/2012/206438 Research Article Stochastic Functional Differential Equation under Regime Switching Ling Bai and Zhang Kai Institute of Mathematics Science, Jilin University, Changchun 130012, China Correspondence should be addressed to Ling Bai, bailing@ Received 6 April 2012; Revised 24 June 2012; Accepted 4 July 2012 Academic Editor: Victor S. Kozyakin Copyright q 2012 L. Bai and Z. Kai. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We discuss stochastic functional differential equation under regime switching dx t β f x , r t, tdt q r tx tdW t σ r t|x t| x tdW t. We obtain unique global solution of t 1 2 this system without the linear growth condition; furthermore, we prove its asymptotic ultimate boundedness. Using the ergodic property of the Markov chain, we give the sufficient condition of almost surely exponentially stable of this system. 1. Introduction Recently, many papers devoted their attention to the hybrid system, they concerned that how to change if the system undergoes the environmental noise and the regime switching. For the detailed understanding of this subject, 1 is good reference. In this paper we will consider the following stochastic functional equation: dx t f x , r t , t dt q r t x t dW t σ r t x t β x t dW t . 1.1 t 1 | | 2