On Reducibility of Linear Markov Switched Difference Equations
AIP Conference Proceedings: International Conference on Numerical Analysis and Applied Mathematics 2014 (ICNAAM-2014)
2015
Jevgeņijs Carkovs,
Jolanta Goldšteine
The paper deals with the system of linear difference equations in Rd with the right part switched by homogeneous
ergodic Markov chain on the compact phase space Y. We prove that the shift operator family for the conditional
first moments of the solutions possess a semigroup property and derive the infinitesimal generator
for this semigroup. This approach permits to propose convenient to application algorithm for asymptotic analysis of the
equations with near to constant coefficients. We have proved that for sufficiently small Markov type perturbations there exists
such a matrix Λ that the first moments of the solutions have an asymptotic close to Λtx.
Keywords
Stochastic difference equations, Markov switching, linear difference equation reducibility
DOI
10.1063/1.4913060
Hyperlink
http://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.4913060
Carkovs, J., Goldšteine, J. On Reducibility of Linear Markov Switched Difference Equations. In: AIP Conference Proceedings: International Conference on Numerical Analysis and Applied Mathematics 2014 (ICNAAM-2014), Greece, Rhodes, 22-28 September, 2014. Melville: AIP Publishing, 2015, pp.850005-1-850005-4. ISBN 978-0-7354-1287-3. ISSN 0094-243X. e-ISSN 1551-7616. Available from: doi:10.1063/1.4913060
Publication language
English (en)