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Noise expresses exponential growth under regime switching

  • Guangda Hu
  • , Mingzhu Liu
  • , Xuerong Mao*
  • , Minghui Song
  • *Corresponding author for this work
  • University of Science and Technology Beijing
  • Harbin Institute of Technology
  • University of Strathclyde

Research output: Contribution to journalArticlepeer-review

Abstract

Consider a given system under regime switching whose solution grows at most polynomially, and suppose that the system is subject to environmental noise in some regimes. Can 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 at most polynomially become a new system whose solution will grow exponentially. In other words, we reveal that regime switching and the environmental noise will express the exponential growth.

Original languageEnglish
Pages (from-to)691-699
Number of pages9
JournalSystems and Control Letters
Volume58
Issue number9
DOIs
StatePublished - Sep 2009

Keywords

  • Brownian motion
  • Exponential growth
  • Markov chain
  • Polynomial growth
  • Stochastic differential equation
  • Stochastic perturbation

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