Moment boundedness for hybrid linear systems with state resetting

Consider the hybrid linear system with jumps

dXt=AXt+BdWt+CdLt+(X0Xt)dNt,dX_t=AX_t+BdW_t+CdL_t+(X_0-X_{t-})dN_t,

where WtW_t is a Wiener process, NtN_t is a counting process, and LtL_t satisfies a moment condition of order QQ. Moment-boundedness claim. If LtL_t satisfies the moment condition of order QQ, then

supt0E[Xtq]<\sup_{t \geq 0}\mathbb{E}[|X|_t^q] < \infty

holds for 1qQ1 \leq q \leq Q.

This claim concerns uniform-in-time moment stability for a hybrid linear system whose state is reset at the jump times of a counting process. The supplied text does not indicate whether the claim is conjectural or has been established.

Sources & referencesView supporting material

Primary source

L. Gerencser and M. Manfay, “Stability of hybrid Levy systems”, arXiv:1401.1069 (2014).

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