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Noise suppresses 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 exponentially, and suppose that the system is subject to environmental noise in some regimes. Can the 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 exponentially become a new system whose solutions will grow at most polynomially. In other words, we reveal that the regime switching and the environmental noise will suppress the exponential growth.

Original languageEnglish
Pages (from-to)783-795
Number of pages13
JournalJournal of Mathematical Analysis and Applications
Volume355
Issue number2
DOIs
StatePublished - 15 Jul 2009

Keywords

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

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