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Optimal Control in Diffusion Stochastic Nonlinear Functional-Differential ITO Equations with Markov Parameters and External Markov Switching

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Abstract

The Lyapunov–Krasovskii second method is used to obtain the sufficient conditions for asymptotic stochastic global stability, global stability, mean square stability of trivial solutions of systems of stochastic diffusion functional-differential equations with Markov switching, and the theory is illustrated using two model problems.

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Authors and Affiliations

  1. Yu. Fedkovych National University, Chernivtsi, Ukraine

    V. K. Yasinskyy & B. W. Savchuk

  2. Donetsk National University, Vinnitsa, Ukraine

    S. M. Kozyr

Authors
  1. V. K. Yasinskyy
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  2. B. W. Savchuk
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  3. S. M. Kozyr
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Corresponding author

Correspondence to V. K. Yasinskyy.

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Translated from Kibernetika i Sistemnyi Analiz, No. 3, May–June, 2016, pp. 122–133.

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Yasinskyy, V.K., Savchuk, B.W. & Kozyr, S.M. Optimal Control in Diffusion Stochastic Nonlinear Functional-Differential ITO Equations with Markov Parameters and External Markov Switching. Cybern Syst Anal 52, 441–450 (2016). https://doi.org/10.1007/s10559-016-9844-z

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  • DOI: https://doi.org/10.1007/s10559-016-9844-z

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