A note on stability in distribution of Markov-modulated stochastic differential equations with reflection

Authors:
Lijun Bo;Chenggui Yuan
Affiliations:
Department of Mathematics, Xidian University, Xi'an 710071, PR China;Department of Mathematics, Swansea University, Swansea SA2 8PP, UK
Venue:
Computers & Mathematics with Applications
Year:
2011

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Abstract

We extend the stability criterion in distribution as in Yuan and Mao [C. Yuan and X. Mao. Asymptotic stability in distribution of stochastic differential equations with Markovian switching, Stochastic Process. Appl. 103 (2003) 277-291] to multi-dimensional reflected Markov-modulated stochastic differential equations on a closed positive orthant.