Moment boundedness for hybrid linear systems with state resetting

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Consider the hybrid linear system with jumps

dXt=AXt+BdWt+CdLt+(X0−Xt−)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

sup⁡t≥0E[∣X∣tq]<∞\sup_{t \geq 0}\mathbb{E}[|X|_t^q] < \infty

holds for 1≤q≤Q1 \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.

References

Primary source

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

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