Hindawi Publishing Corporation

Journal of Applied Mathematics

Volume 2013, Article ID 357869, 11 pages
http://dx.doi.org/10.1155/2013/357869

Research Article
Stochastic Differential Equations with
Multi-Markovian Switching

Meng Liu1 and Ke Wang2

1
School of Mathematical Science, Huaiyin Normal University, Huai’an 223300, China
2
Department of Mathematics, Harbin Institute of Technology, Weihai 264209, China

Correspondence should be addressed to Meng Liu; liumeng0557@sina.com

Received 31 August 2012; Revised 2 March 2013; Accepted 5 March 2013

Academic Editor: Jose L. Gracia

Copyright © 2013 M. Liu and K. Wang. This is an open access article distributed under the Creative Commons Attribution License,
which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

This paper is concerned with stochastic differential equations (SDEs) with multi-Markovian switching. The existence and
uniqueness of solution are investigated, and the pth moment of the solution is estimated. The classical theory of SDEs with single
Markovian switching is extended.

1. Introduction However, in the real world, the condition that coefficients

Stochastic modeling has played an important role in many
branches of industry and science. SDEs with single continu-
ous-time Markovian chain have been used to model many
practical systems where they may experience abrupt changes
in their parameters and structure caused by phenomena
such as abrupt environment disturbances. SDEs with single
Markovian switching can be denoted by
𝑑𝑥 (𝑡) = 𝑓 (𝑥 (𝑡) , 𝑡, 𝛾 (𝑡)) 𝑑𝑡
(1)
+ 𝑔 (𝑥 (𝑡) , 𝑡, 𝛾 (𝑡)) 𝑑𝐵 (𝑡) , 𝑡0 ≤ 𝑡 ≤ 𝑇
with initial conditions 𝑥(𝑡0 ) = 𝑥0 ∈ 𝐿2F𝑡 and 𝛾(𝑡0 ) = 𝛾0 ,
0 𝑑𝑋 (𝑡) = 𝜇 (𝛾 (𝑡)) 𝑋 (𝑡) 𝑑𝑡 + ] (𝛾 (𝑡)) 𝑋 (𝑡) 𝑑𝐵 (𝑡) .
where 𝛾(𝑡) is a right-continuous homogenous Markovian
chain on the probability space taking values in a finite state
space S = {1, 2, . . . , 𝑁} and is F𝑡 -adapted but independent
of the Brownian motion 𝐵(𝑡), and
𝑓 : R𝑛 × R+ × S 󳨀→ R𝑛 ,
(2)
𝑔 : R𝑛 × R+ × S 󳨀→ R𝑛+𝑚 .
Owing to their theoretical and practical significance, (1)
has received great attention and has been recently studied
extensively, and we here mention Skorokhod [1] and Mao and
Yuan [2] among many others.
𝑓 and 𝑔 in (1) are perturbed by the same Markovian chain
is too restrictive. For example, in the classical Black-Scholes
model, the asset price is given by a geometric Brownian
motion
𝑑𝑋 (𝑡) = 𝜇𝑋 (𝑡) 𝑑𝑡 + ]𝑋 (𝑡) 𝑑𝐵 (𝑡) , (3)
where 𝜇 is the rate of the return of the underlying assert, ]
is the volatility, and 𝐵(𝑡) is a scalar Brownian motion. Since
there is strong evidence to indicate that 𝜇 is not a constant but
is a Markovian jump process (see, e.g., [3, 4]), many authors
proposed the following model:
(4)
However, many stochastic factors that affect 𝜇 are different
from those that affect ]. Then the following model is more
appropriate than model (105) to describe this problem:
𝑑𝑋 (𝑡) = 𝜇 (𝛾1 (𝑡)) 𝑋 (𝑡) 𝑑𝑡 + ] (𝛾2 (𝑡)) 𝑋 (𝑡) 𝑑𝐵 (𝑡) , (5)
where 𝛾𝑖 (𝑡) is a right-continuous homogenous Markovian
chain taking values in a finite state space, 𝑖 = 1, 2. Another
example is the stochastic Lotka-Volterra model with single
Markovian switching which has received great attention
and has been studied extensively recently (see, e.g., [5–12]).
2 Journal of Applied Mathematics
For the sake of convenience, we take the following two-
dimensional competitive model as an example:
𝑑𝑥1 = 𝑥1 [𝑟10 (𝛾 (𝑡)) − 𝑎11 (𝛾 (𝑡)) 𝑥1 − 𝑎12 (𝛾 (𝑡)) 𝑥2 ] 𝑑𝑡
+ 𝛼1 (𝛾 (𝑡)) 𝑥1 𝑑𝐵1 (𝑡) ,
(6)
𝑑𝑥2 = 𝑥2 [𝑟20 (𝛾 (𝑡)) − 𝑎21 (𝛾 (𝑡)) 𝑥1 − 𝑎22 (𝛾 (𝑡)) 𝑥2 ] 𝑑𝑡
+ 𝛼2 (𝛾 (𝑡)) 𝑥2 𝑑𝐵2 (𝑡) ,
where 𝑥𝑖 is the size of 𝑖th species at time 𝑡, 𝑟𝑖0 (𝑗) represents
the growth rate of 𝑖th species in regime 𝑗 for 𝑖 = 1, 2,
𝑗 ∈ S, and 𝐵1 and 𝐵2 are independent standard Brownian
motions. However, there are many stochastic factors that
affect some coefficients intensely but have little impact on
other coefficients in (6). For example, suppose that the
stochastic factor is rain falls and 𝑥1 is able to endure a damp
weather while 𝑥2 is fond of a dry environment, then the rain
falls will affect 𝑥2 intensely but have little impact on 𝑥1 . Thus,
a more appropriate model is governed by
𝑑𝑥1 = 𝑥1 [𝑟10 (𝛾10 (𝑡)) − 𝑎11 (𝛾11 (𝑡)) 𝑥1 − 𝑎12 (𝛾12 (𝑡)) 𝑥2 ] 𝑑𝑡
+ 𝛼1 (𝛾1 (𝑡)) 𝑥1 𝑑𝐵1 (𝑡) ,
𝑑𝑥2 = 𝑥2 [𝑟20 (𝛾20 (𝑡)) − 𝑎21 (𝛾21 (𝑡)) 𝑥1 − 𝑎22 (𝛾22 (𝑡)) 𝑥2 ] 𝑑𝑡
+ 𝛼2 (𝛾2 (𝑡)) 𝑥2 𝑑𝐵2 (𝑡) ,
(7)
where 𝛾𝑖𝑗 (𝑡) and 𝛾𝑘 (𝑡) are right-continuous homogenous
Markovian chains taking values in finite state spaces S𝑖𝑗 for
𝑖 = 1, 2, 𝑗 = 0, 1, 2, and S𝑘 for 𝑘 = 1, 2, respectively.
Thus the above examples show that the study of the
following SDEs with multi-Markovian switchings is essential
and is of great importance from both theoretical and practical
points:
𝑑𝑥 (𝑡) = 𝑓 (𝑥 (𝑡) , 𝑡, 𝛾1 (𝑡)) 𝑑𝑡
(8)
+ 𝑔 (𝑥 (𝑡) , 𝑡, 𝛾2 (𝑡)) 𝑑𝐵 (𝑡) , 𝑡0 ≤ 𝑡 ≤ 𝑇
with initial conditions 𝑥(𝑡0 ) = 𝑥0 ∈ 𝐿2F0 and 𝛾𝑖 (𝑡0 ), where
𝛾𝑖 (𝑡) is a right-continuous homogenous Markovian chain
on the probality space taking values in a finite state space
S𝑖 = {1, 2, . . . , 𝑁𝑖 } and is F𝑡 -adapted but independent of the
Brownian motion 𝐵𝑖 (𝑡), 𝑖 = 1, 2, and
𝑓 : R𝑛 × R+ × S1 󳨀→ R𝑛 ,
(9)
𝑔 : R𝑛 × R+ × S2 󳨀→ R𝑛+𝑚 .
Equation (8) can be regarded as the result of the 𝑁1 × 𝑁2
equations
𝑑𝑥 (𝑡) = 𝑓 (𝑥 (𝑡) , 𝑡, 𝑖) 𝑑𝑡
(10)
+ 𝑔 (𝑥 (𝑡) , 𝑡, 𝑗) 𝑑𝐵 (𝑡) , 𝑖 ∈ S 1 , 𝑗 ∈ S2
switching among each other according to the movement of
the Markovian chains. It is important for us to discover the
properties of the system (8) and to find out whether the
presence of two Markovian switchings affects some known
results. The first step and the foundation of those studies are
to establish the theorems for the existence and uniqueness of
the solution to system (8). So in this paper, we will give some
theorems for the existence and uniqueness of the solution to
system (8) and study some properties of this solution. The
theory developed in this paper is the foundation for further
study and can be applied in many different and complicated
situations, and hence the importance of the results in this
paper is clear.
It should be pointed out that the theory developed in this
paper can be generalized to cope with the more general SDEs
with more Markovian chains
𝑑𝑥 (𝑡) = 𝑓 (𝑥 (𝑡) , 𝑡, 𝛾1 (𝑡) , . . . , 𝛾𝑛 (𝑡)) 𝑑𝑡
(11)
+ 𝑔 (𝑥 (𝑡) , 𝑡, 𝛾𝑛+1 (𝑡) , . . . , 𝛾𝑛+𝑚 (𝑡)) 𝑑𝐵 (𝑡) .
The reason we concentrate on (8) rather than (11) is to avoid
the notations becoming too complicated. Once the theory
developed in this paper is established, the reader should be
able to cope with the more general (11) without any difficulty.
The remaining part of this paper is as follows. In Section 2,
the sufficient criteria for existence and uniqueness of solution,
local solution, and maximal local solution will be established,
respectively. In Section 3, the 𝐿𝑃 -estimates of the solution
will be given. In Section 4, we will introduce an example to
illustrate our main result. Finally, we will close the paper with
conclusions in Section 5.
2. SDEs with Markovian Chains
Throughout this paper, let (Ω, F, {F𝑡 }𝑡∈𝑅+ , P) be a complete
probability space. Let 𝐵(𝑡) = (𝐵1 (𝑡), . . . , 𝐵𝑚 (𝑡))𝑇 be an 𝑚-
dimensional Brownian motion defined on the probability
space.
In this section, we will consider (8). Let 𝛾(𝑡) = (𝛾1 (𝑡),
𝛾2 (𝑡)). We impose a hypothesis.
(H1): 𝛾1 (𝑡) is independent of 𝛾2 (𝑡).
Then 𝛾(𝑡) is a homogenous vector Markovian chain with
transition probabilities
𝑃 {𝛾 (𝑠 + 𝑡) = (𝑗1 , 𝑗2 ) | 𝛾 (𝑠) = (𝑖1 , 𝑖2 )}
= 𝑃 {𝛾 (𝑡) = (𝑗1 , 𝑗2 ) | 𝛾 (0) = (𝑖1 , 𝑖2 )} (12)
=: 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡) ,
where (𝑖1 , 𝑖2 ), (𝑗1 , 𝑗2 ) ∈ S = {(1, 1), (1, 2), . . . , (1, 𝑁2 ), (2, 1),
. . . , (𝑁1 , 𝑁2 )}.
Now, we will prepare some lemmas which are important
for further study.
Lemma 1. 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡) has the following properties:
(i) 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡) ≥ 0 for (𝑖1 , 𝑖2 ), (𝑗1 , 𝑗2 ) ∈ S;
(ii) ∑(𝑗1 ,𝑗2 )∈S 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡) = 1 for (𝑖1 , 𝑖2 ) ∈ S;
(iii) 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (0) = 𝛿𝑖1 𝑗1 ⋅ 𝛿𝑖2 𝑗2 , where 𝛿𝑖𝑘 𝑗𝑘 = 1 if 𝑖𝑘 = 𝑗𝑘 ,
otherwise 𝛿𝑖𝑘 𝑗𝑘 = 0, 𝑘 = 1, 2;
Journal of Applied Mathematics 3

(iv) (Chapman-Kolmogorov equation) For 𝑠, 𝑡 ≥ 0 and for sufficient large 𝑛. Then making use of Chapman-Kolm-
(𝑖1 , 𝑖2 ), (𝑗1 , 𝑗2 ) ∈ S, ogorov equation

𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑠 + 𝑡) 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑠 + 𝑡) = ∑ 𝑃𝑖1 𝑖2 ;𝑘1 1𝑘2 (𝑡) 𝑃𝑘1 𝑘2 ;𝑖1 𝑖2 (𝑠)
(13) (𝑘1 ,𝑘2 )∈S (16)
= ∑ 𝑃𝑖1 𝑖2 ;𝑘1 𝑘2 (𝑡) 𝑃𝑘1 𝑘2 ;𝑗1 𝑗2 (𝑠) .
(𝑘1 ,𝑘2 )∈S ≥ 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑡) 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑠)

gives
Proof. The proofs of (i), (ii), and (iii) are obvious. Now, let us
prove (iv): 𝑡 𝑛
𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑡) ≥ (𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 ( )) > 0, (17)
𝑛
𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑠 + 𝑡)
which is the desired assertion.
= 𝑃 {𝛾 (𝑠 + 𝑡) = (𝑗1 , 𝑗2 ) | 𝛾 (0) = (𝑖1 , 𝑖2 )}
Lemma 3. Under Assumption (H2), for all (𝑖1 , 𝑖2 ) ∈ S,
= ∑ 𝑃 {𝛾 (𝑠 + 𝑡) = (𝑗1 , 𝑗2 ) ,
(𝑘1 ,𝑘2 )∈S 1 − 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑡)
−𝑞𝑖1 𝑖2 ;𝑖1 𝑖2 := lim (18)
𝑡→0 𝑡
𝛾 (𝑡) = (𝑘1 , 𝑘2 ) | 𝛾 (0) = (𝑖1 , 𝑖2 )}
exists (but may be ∞).
= ∑ (𝑃 {𝛾 (𝑠 + 𝑡) = (𝑗1 , 𝑗2 ) ,
(𝑘1 ,𝑘2 )∈S Proof. Define 𝜙(𝑡) = − ln 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑡) ≥ 0. Then making use of
(16) gives
𝛾 (𝑡) = (𝑘1 , 𝑘2 ) , 𝛾 (0) = (𝑖1 , 𝑖2 )}
−1 𝜙 (𝑠 + 𝑡) ≤ 𝜙 (𝑠) + 𝜙 (𝑡) . (19)
×(𝑃 {𝛾 (𝑡) = (𝑘1 , 𝑘2 ) , 𝛾 (0) = (𝑖1 , 𝑖2 )}) )
Set −𝑞𝑖1 𝑖2 ;𝑖1 𝑖2 = sup𝑡>0 (𝜙(𝑡)/𝑡). It is easy to see that
𝑃 {𝛾 (𝑡) = (𝑘1 , 𝑘2 ) , 𝛾 (0) = (𝑖1 , 𝑖2 )}
×
𝑃 {𝛾 (0) = (𝑖1 , 𝑖2 )} 𝜙 (𝑡)
0 ≤ −𝑞𝑖1 𝑖2 ;𝑖1 𝑖2 ≤ ∞, lim sup ≤ −𝑞𝑖1 𝑖2 ;𝑖1 𝑖2 . (20)
𝑡→0 𝑡
= ∑ 𝑃 {𝛾 (𝑠 + 𝑡) = (𝑗1 , 𝑗2 ) | 𝛾 (𝑡) = (𝑘1 , 𝑘2 ) ,
(𝑘1 ,𝑘2 )∈S
Now we will assert
𝛾 (0) = (𝑖1 , 𝑖2 )} 𝜙 (𝑡)
lim inf ≥ −𝑞𝑖1 𝑖2 ;𝑖1 𝑖2 . (21)
× 𝑃 {𝛾 (𝑡) = (𝑘1 , 𝑘2 ) | 𝛾 (0) = (𝑖1 , 𝑖2 )}
𝑡→0 𝑡
In fact, for 0 < ℎ < 𝑡, ∃𝑛, 0 ≤ 𝜀 ≤ ℎ such that 𝑡 = 𝑛ℎ + 𝜀.
= ∑ 𝑃 {𝛾 (𝑠 + 𝑡) = (𝑗1 , 𝑗2 ) | 𝛾 (𝑡) = (𝑘1 , 𝑘2 )} Applying (19) yields
(𝑘1 ,𝑘2 )∈S
𝜙 (𝑡) 𝑛ℎ 𝜙 (ℎ) 𝜙 (𝜀)
× 𝑃 {𝛾 (𝑡) = (𝑘1 , 𝑘2 ) | 𝛾 (0) = (𝑖1 , 𝑖2 )} ≥ + . (22)
𝑡 𝜀 ℎ 𝑡
= ∑ 𝑃𝑘1 𝑘2 ;𝑗1 𝑗2 (𝑠) 𝑃𝑖1 𝑖2 ;𝑘1 𝑘2 (𝑡) . Note that 𝜀 → 0, 𝑛ℎ/𝜀 → 1, 𝜙(𝜀) → 0 whenever ℎ → 0+ ,
(𝑘1 ,𝑘2 )∈S then for all 𝑡 > 0 we have
(14)
𝜙 (𝑡) 𝜙 (ℎ)
≤ lim inf . (23)
This completes the proof. 𝑡 ℎ→0 ℎ

Now, we impose another hypothesis, which is called This implies −𝑞𝑖1 𝑖2 ;𝑖1 𝑖2 ≤ lim inf 𝑡 → 0 (𝜙(𝑡)/𝑡). Thus
standard condition.
(H2): lim𝑡 → 0 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡) = 𝛿𝑖1 𝑖2 ;𝑗1 𝑗2 . 𝜙 (𝑡)
−𝑞𝑖1 𝑖2 ;𝑖1 𝑖2 = lim . (24)
𝑡→0 𝑡
Lemma 2. Under Assumption (H2), for all 𝑡 ≥ 0, (𝑖1 , 𝑖2 ) ∈ S,
one has 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑡) > 0. Using the definition of 𝜙(𝑡) gives

1 − 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑡) 1 − exp {𝜙 (𝑡)} 𝜙 (𝑡)

Proof. From 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (0) > 0 and (H2) we know that, for lim = lim = −𝑞𝑖1 𝑖2 ;𝑖1 𝑖2 ,
arbitrary fixed 𝑡 > 0, we have 𝑡→0 𝑡 𝑡→0 𝜙 (𝑡) 𝑡
(25)
𝑡
𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 ( ) > 0 (15)
𝑛 which is the required assertion.
4 Journal of Applied Mathematics

Lemma 4. Under Assumption (H2), for (𝑖1 , 𝑖2 ), (𝑗1 , 𝑗2 ) ∈ Consequently,

S, (𝑖1 , 𝑖2 ) ≠ (𝑗1 , 𝑗2 ),
𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡)
𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡)
𝑞𝑖1 𝑖2 ;𝑗1 𝑗2 := 𝑃𝑖󸀠1 𝑖2 ;𝑗1 𝑗2 (0) = lim (26) 𝑛
𝑡→0 𝑡 (𝑗 𝑗 )
> ∑ 𝑃𝑖1 𝑖12 ;𝑖21 𝑖2 ((𝑚 − 1) ℎ) 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (ℎ) 𝑃𝑗1 𝑗2 ;𝑗1 𝑗2 (𝑡 − 𝑚ℎ)
exists and is finite. 𝑚=1

𝜀
Proof. By (H2), we note that for all 0 < 𝜀 < 1/3, ∃0 < 𝛿 < 1, ≥ 𝑛 (1 − 𝜀 − )𝑃 (ℎ) (1 − 𝜀)
1 − 𝜀 𝑖1 𝑖2 ;𝑗1 𝑗2
such that
≥ 𝑛 (1 − 3𝜀) 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (ℎ) .
𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑡) > 1 − 𝜀, 𝑃𝑗1 𝑗2 ;𝑗1 𝑗2 (𝑡) > 1 − 𝜀,
(33)
(27)
𝑃𝑗1 𝑗2 ;𝑖1 𝑖2 (𝑡) < 𝜀
Dividing both sides of the above inequality by ℎ and noting
provided 0 < 𝑡 ≤ 𝛿. 𝑛ℎ → 𝑡 whenever ℎ → 0 yield
For ∀0 ≤ ℎ < 𝑡, set 𝑛 = ⟨𝑡/ℎ⟩, where ⟨𝑎⟩ = max𝑛≤𝑎 {𝑛 ∈
𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (ℎ) 1 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡)
Z}. Let lim sup ≤ < ∞. (34)
ℎ→0 ℎ 1 − 3𝜀 𝑡
(𝑗 𝑗 )
𝑃𝑖 𝑖1 ;𝑘2 𝑘 (ℎ) = 𝑃𝑖1 𝑖2 ;𝑘1 𝑘2 (ℎ) ,
1 2 1 2
Then letting 𝑡 → 0 gives
(𝑗 𝑗 )
𝑃𝑖 𝑖1 ;𝑘2 𝑘 (𝑚ℎ)
1 2 1 2 (28) 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (ℎ) 1 𝑃𝑖 𝑖 ;𝑗 𝑗 (𝑡)
lim sup ≤ lim inf 1 2 1 2 , (35)
= ∑
(𝑗 𝑗 )
𝑃𝑖1 𝑖12 ;𝑟21 𝑟2 ((𝑚 − 1) ℎ) 𝑃𝑟1 𝑟2 ;𝑘1 𝑘2 (ℎ) , ℎ→0 ℎ 1 − 3𝜀 𝑡 → 0 𝑡
(𝑟1 ,𝑟2 ) ≠ (𝑗1 ,𝑗2 )
and the required assertion follows immediately by letting
(𝑗 𝑗 ) 𝜀 → 0. This completes the proof.
where 𝑃𝑖 𝑖1 ;𝑘2 𝑘 (𝑚ℎ) means that the probability of the 𝛾(𝑡) will
1 2 1 2
not reach to (𝑗1 , 𝑗2 ) at times ℎ, 2ℎ, . . . , (𝑚 − 1)ℎ but will reach Set 𝛾(𝑡) = (𝛾1 (𝑡), 𝛾2 (𝑡)), then it is easy to see that
to (𝑘1 , 𝑘2 ) at time 𝑚ℎ. Note that if ℎ ≤ 𝑡 ≤ 𝛿, then almost every sample path of 𝛾(𝑡) is a right continuous step
function. Now letting P(𝑡) = (𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡))𝑁1 𝑁2 ×𝑁1 𝑁2 , Q =
𝜀 > 1 − 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑡) (𝑞𝑖1 𝑖2 ;𝑗1 𝑗2 )𝑁1 𝑁2 ×𝑁1 𝑁2 = P󸀠 (0). Then by Chapman-Kolmogorov
equation
= ∑ 𝑃𝑖1 𝑖2 ;𝑘1 𝑘2 (𝑡) ≥ 𝑃𝑖1 𝑖2 ;𝑗1 𝑗2 (𝑡)
(𝑘1 ,𝑘2 ) ≠ (𝑖1 ,𝑖2 ) P (𝑡 + ℎ) = P (𝑡) P (ℎ) = P (ℎ) P (𝑡) , (36)
𝑛 (29)
(𝑗 𝑗 ) we have
≥ ∑ 𝑃𝑖1 𝑖12 ;𝑗21 𝑗2 (𝑚ℎ) 𝑃𝑗1 𝑗2 ;𝑗1 𝑗2 (𝑡 − 𝑚ℎ)
𝑚=1
P (𝑡 + ℎ) − P (𝑡) P (ℎ) − I P (ℎ) − I
𝑛 = P (𝑡) [ ]=[ ] P (𝑡) .
(𝑗 𝑗 ) ℎ ℎ ℎ
≥ (1 − 𝜀) ∑ 𝑃𝑖1 𝑖12 ;𝑗21 𝑗2 (𝑚ℎ) , (37)
𝑚=1

which indicates Letting ℎ → 0 and taking limits give

𝑛
(𝑗 𝑗 ) 𝜀 P󸀠 (𝑡) = P (𝑡) Q,
∑ 𝑃𝑖1 𝑖12 ;𝑗21 𝑗2 (𝑚ℎ) ≤ . (30) (38)
1−𝜀
𝑚=1
P󸀠 (𝑡) = QP (𝑡) .
Then making use of
Note that
(𝑗 𝑗 )
𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑚ℎ) = 𝑃𝑖1 𝑖12 ;𝑖21 𝑖2 (𝑚ℎ)
P (0) = I. (39)
𝑚−1 (31)
(𝑗 𝑗 ) Then by solving the ordinary differential equations (38) and
+ ∑ 𝑃𝑖1 𝑖12 ;𝑗21 𝑗2 (𝑙ℎ) 𝑃𝑗1 𝑗2 ;𝑖1 𝑖2 ((𝑚 − 𝑙) ℎ) ,
𝑙=1 (39), we obtain the following lemma.

we obtain Lemma 5. For P(𝑡) and Q one has

𝑚−1
(𝑗 𝑗 ) (𝑗 𝑗 ) P (𝑡) = exp {Q𝑡} . (40)
𝑃𝑖1 𝑖12 ;𝑖21 𝑖2 (𝑚ℎ) ≥ 𝑃𝑖1 𝑖2 ;𝑖1 𝑖2 (𝑚ℎ) − ∑ 𝑃𝑖1 𝑖12 ;𝑗21 𝑗2 (𝑙ℎ)
𝑙=1 (32) We are now in the position to give the sufficient condi-
𝜀 tions for the existence and uniqueness of the solution of (8).
≥1−𝜀− .
1−𝜀 For this end, let us first give the definition of the solution.
Journal of Applied Mathematics 5

Definition 6. An R𝑛 -valued stochastic process {𝑥(𝑡)}𝑡0 ≤𝑡≤𝑇 is with initial conditions 𝑥(𝑡0 ) = 𝑥0 , 𝛾(𝑡0 ) = (𝛾1 (𝑡0 ), 𝛾1 (𝑡0 )).
called a solution of (8) if it has the following properties: Then by the theory of SDEs, we obtain that (46) has a unique
(i) {𝑥(𝑡)}𝑡0 ≤𝑡≤𝑇 is continuous and F𝑡 -adapted; solution which obeys 𝑥(𝜏1 ) ∈ 𝐿2F𝜏 (Ω; R𝑛 ). We next consider
1
(8) on 𝑡 ∈ [[𝜏1 , 𝜏2 [[ which becomes
(ii) {𝑓(𝑥(𝑡), 𝑡, 𝛾1 (𝑡))}𝑡0 ≤𝑡≤𝑇 ∈ L1 ([𝑡0 , 𝑇]; R𝑛 ) while {𝑔(𝑥(𝑡),
𝑡, 𝛾2 (𝑡))}𝑡0 ≤𝑡≤𝑇 ∈ L2 ([𝑡0 , 𝑇]; R𝑛×𝑚 ); 𝑑𝑥 (𝑡) = 𝑓 (𝑥 (𝑡) , 𝑡, 𝛾1 (𝜏1 )) 𝑑𝑡
(47)
(iii) for any 𝑡 ∈ [𝑡0 , 𝑇], equation + 𝑔 (𝑥 (𝑡) , 𝑡, 𝛾2 (𝜏1 )) 𝑑𝐵 (𝑡) .
𝑡
𝑥 (𝑡) = 𝑥 (𝑡0 ) + ∫ 𝑓 (𝑥 (𝑠) , 𝑠, 𝛾1 (𝑠)) 𝑑𝑠 Again by the theory of SDEs, (47) has a unique solution which
𝑡0 obeys 𝑥(𝜏1 ) ∈ 𝐿2F𝜏 (Ω; R𝑛 ). Repeating this procedure, we
(41) 2
𝑡 conclude that (8) has a unique solution 𝑥(𝑡) on [𝑡0 , 𝑇].
+ ∫ 𝑔 (𝑥 (𝑠) , 𝑠, 𝛾2 (𝑠)) 𝑑𝐵 (𝑠) Now, let us prove (44). For every 𝑘 ≥ 1, define the
𝑡0
stopping time
holds with probability 1.
𝜏𝑘 = 𝑇 ∧ inf {𝑡 ∈ [𝑡0 , 𝑇] : |𝑥 (𝑡)| ≥ 𝑘} . (48)
A solution {𝑥(𝑡)}𝑡0 ≤𝑡≤𝑇 is said to be unique if any other
It is obvious that 𝜏𝑘 ↑ 𝑇 a.s. Set 𝑥𝑘 (𝑡) = 𝑥(𝑡∧𝜏𝑘 ) for 𝑡 ∈ [𝑡0 , 𝑇].
𝑥(𝑡)}𝑡0 ≤𝑡≤𝑇 is indistinguishable from {𝑥(𝑡)}𝑡0 ≤𝑡≤𝑇 .
solution {̃
Then 𝑥𝑘 (𝑡) obeys the equation
Now we can give our main results in this section.
𝑡
Theorem 7. Assume that there exist two positive constants 𝐾 𝑥𝑘 (𝑡) = 𝑥0 + ∫ 𝑓 (𝑥𝑘 (𝑠) , 𝑠, 𝛾1 (𝑠)) 𝐼[[𝑡0 ,𝜏𝑘 ]] (𝑠) 𝑑𝑠
𝑡0
and 𝐾 such that. (49)
(Lipschitz condition) for all 𝑥, 𝑦 ∈ R𝑛 , 𝑡 ∈ [𝑡0 , 𝑇] and 𝑡
(𝑖1 , 𝑖2 ) ∈ S + ∫ 𝑔 (𝑥𝑘 (𝑠) , 𝑠, 𝛾2 (𝑠)) 𝐼[[𝑡0 ,𝜏𝑘 ]] (𝑠) 𝑑𝐵 (𝑠) .
𝑡0
󵄨󵄨 󵄨2
󵄨󵄨𝑓 (𝑥, 𝑡, 𝑖1 ) − 𝑓 (𝑦, 𝑡, 𝑖1 )󵄨󵄨󵄨 Making use of the elementary inequality |𝑎 + 𝑏 + 𝑐|2 ≤ 3(|𝑎|2 +
(42)
󵄨 󵄨2 󵄨 󵄨2
∨ 󵄨󵄨󵄨𝑔 (𝑥, 𝑡, 𝑖2 ) − 𝑔 (𝑦, 𝑡, 𝑖2 )󵄨󵄨󵄨 ≤ 𝐾󵄨󵄨󵄨𝑥 − 𝑦󵄨󵄨󵄨 . |𝑏|2 + |𝑐|2 ), the Hölder inequality, and (43), we can see that
𝑡
(Linear growth condition) for all (𝑥, 𝑡, (𝑖1 , 𝑖2 )) ∈ R𝑛 × 󵄨󵄨 󵄨2 󵄨 󵄨2 󵄨 󵄨2
󵄨󵄨𝑥𝑘 (𝑡)󵄨󵄨󵄨 = 3󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 3𝐾 (𝑇 − 𝑡0 ) ∫ (1 + 󵄨󵄨󵄨𝑥𝑘 (𝑠)󵄨󵄨󵄨 ) 𝑑𝑠
[𝑡0 , 𝑇] × S 𝑡 0

󵄨󵄨 󵄨2 󵄨 󵄨2 󵄨󵄨 𝑡 󵄨󵄨2
󵄨󵄨𝑓 (𝑥, 𝑡, 𝑖1 )󵄨󵄨󵄨 ∨ 󵄨󵄨󵄨𝑔 (𝑥, 𝑡, 𝑖2 )󵄨󵄨󵄨 ≤ 𝐾(1 + |𝑥|) .
2
󵄨 󵄨
+ 3󵄨󵄨󵄨󵄨∫ 𝑔 (𝑥𝑘 (𝑠) , 𝑠, 𝛾2 (𝑠)) 𝐼[[𝑡0 ,𝜏𝑘 ]] (𝑠) 𝑑𝐵 (𝑠)󵄨󵄨󵄨󵄨 .
(43)
󵄨󵄨 𝑡0 󵄨󵄨
Then there exists a unique solution 𝑥(𝑡) to (8) and, moreover, (50)
the solution obeys
Thus, applying the Doob martingale inequality and (43), we
2
𝐸 ( sup |𝑥 (𝑡)| ) can further show that
𝑡0 ≤𝑡≤𝑇 (44)
󵄨 󵄨2 󵄨 󵄨2
≤ (1 + 3𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 ) exp {3𝐾 (𝑇 − 𝑡0 ) (𝑇 − 𝑡0 + 4)} . 𝐸 ( sup 󵄨󵄨󵄨𝑥𝑘 (𝑠)󵄨󵄨󵄨 )
𝑡0 ≤𝑠≤𝑡
Proof. Recall that almost every sample path of 𝛾(𝑡) = 𝑡
󵄨 󵄨2 󵄨 󵄨2
(𝛾1 (𝑡), 𝛾2 (𝑡)) is a right continuous step function with a finite = 3𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 3𝐾 (𝑇 − 𝑡0 ) ∫ (1 + 𝐸󵄨󵄨󵄨𝑥𝑘 (𝑠)󵄨󵄨󵄨 ) 𝑑𝑠
number of jumps on [𝑡0 , 𝑇]. Thus there exists a sequence of 𝑡0
stopping times {𝜏𝑘 }𝑘≥0 such that 𝑡
󵄨 󵄨2
+ 12𝐸 ∫ 󵄨󵄨󵄨𝑔 (𝑥𝑘 (𝑠) , 𝑠, 𝛾2 (𝑠))󵄨󵄨󵄨 𝐼[[𝑡0 ,𝜏𝑘 ]] (𝑠) 𝑑𝑠
(i) for almost every 𝜔 ∈ Ω there is a finite 𝑘𝜔 for 𝑡0 = 𝑡 0

𝜏0 < 𝜏1 < ⋅ ⋅ ⋅ < 𝜏𝑘 = 𝑇 and 𝜏𝑘 = 𝑇 if 𝑘 > 𝑘𝜔 ; 𝑡

󵄨 󵄨2 󵄨 󵄨2
(ii) both 𝛾1 (⋅) and 𝛾2 (⋅) in 𝛾(⋅) are constants on interval ≤ 3𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 3𝐾 (𝑇 − 𝑡0 + 4) ∫ (1 + 𝐸󵄨󵄨󵄨𝑥𝑘 (𝑠)󵄨󵄨󵄨 ) 𝑑𝑠.
𝑡0
[[𝜏𝑘 , 𝜏𝑘+1 [[, namely,
(51)
𝛾1 (𝑡) = 𝛾1 (𝜏𝑘 ) on 𝜏𝑘 ≤ 𝑡 ≤ 𝜏𝑘+1 ∀𝑘 ≥ 0,
(45) That is to say,
𝛾2 (𝑡) = 𝛾2 (𝜏𝑘 ) on 𝜏𝑘 ≤ 𝑡 ≤ 𝜏𝑘+1 ∀𝑘 ≥ 0.
󵄨 󵄨2 󵄨 󵄨2
1 + 𝐸 ( sup 󵄨󵄨󵄨𝑥𝑘 (𝑠)󵄨󵄨󵄨 ) ≤ 1 + 3𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 3𝐾 (𝑇 − 𝑡0 + 4)
First of all, let us consider (8) on 𝑡 ∈ [[𝜏0 , 𝜏1 [[, then (8) 𝑡0 ≤𝑠≤𝑡
becomes
𝑡
󵄨 󵄨2
𝑑𝑥 (𝑡) = 𝑓 (𝑥 (𝑡) , 𝑡, 𝛾1 (𝑡0 )) 𝑑𝑡 × ∫ [1 + 𝐸 sup 󵄨󵄨󵄨𝑥𝑘 (𝑟)󵄨󵄨󵄨 ] 𝑑𝑠.
(46) 𝑡0 𝑡0 ≤𝑟≤𝑠
+ 𝑔 (𝑥 (𝑡) , 𝑡, 𝛾2 (𝑡0 )) 𝑑𝐵 (𝑡) (52)
6 Journal of Applied Mathematics

Using the Gronwall inequality leads to Theorem 10. Under condition (57), there exists a unique
maximal local solution of (8).
󵄨 󵄨2
1 + 𝐸 ( sup 󵄨󵄨󵄨𝑥𝑘 (𝑠)󵄨󵄨󵄨 )
𝑡0 ≤𝑠≤𝑡 Proof. Define functions
(53)
󵄨 󵄨2
≤ (1 + 3𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 ) exp {3𝐾 (𝑇 − 𝑡0 ) (𝑇 − 𝑡0 + 4)} . {𝑓 (𝑥, 𝑡, 𝑖1 ) , if |𝑥| ≤ 𝑘,
𝑓𝑘 (𝑥, 𝑡, 𝑖1 ) = { 𝑘𝑥
Consequently, 𝑓 ( , 𝑡, 𝑖1 ) , if |𝑥| > 𝑘,
{ |𝑥|
(58)
1 + 𝐸 ( sup |𝑥 (𝑡)|2 ) {𝑔 (𝑥, 𝑡, 𝑖2 ) , if |𝑥| ≤ 𝑘,
𝑡0 ≤𝑡≤𝜏𝑘
(54) 𝑔𝑘 (𝑥, 𝑡, 𝑖2 ) = { 𝑘𝑥
𝑔 ( , 𝑡, 𝑖2 ) , if |𝑥| > 𝑘.
󵄨 󵄨2 { |𝑥|
≤ (1 + 3𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 ) exp {3𝐾 (𝑇 − 𝑡0 ) (𝑇 − 𝑡0 + 4)} .
Then 𝑓𝑘 and 𝑔𝑘 satisfy the Lipschitz condition and the linear
Then the required inequality (44) follows immediately by growth condition. Thus by Theorem 7, there is a unique
letting 𝑘 → ∞. solution 𝑥𝑘 (𝑡) of the equation
Condition (42) indicates that the coefficients 𝑓(𝑥, 𝑡, 𝑖1 )
and 𝑔(𝑥, 𝑡, 𝑖2 ) do not change faster than a linear function of 𝑑𝑥𝑘 (𝑡) = 𝑓𝑘 (𝑥𝑘 (𝑡) , 𝑡, 𝛾1 (𝑡)) 𝑑𝑡
𝑥 as change in 𝑥. This means in particular the continuity of (59)
𝑓(𝑥, 𝑡, 𝑖1 ) and 𝑔(𝑥, 𝑡, 𝑖2 ) in 𝑥 for all 𝑡 ∈ [𝑡0 , 𝑇]. Then functions + 𝑔𝑘 (𝑥𝑘 (𝑡) , 𝑡, 𝛾2 (𝑡)) 𝑑𝐵 (𝑡)
that are discontinuous with respect to 𝑥 are excluded as the with the initial conditions 𝑥𝑘 (𝑡0 ) = 𝑥0 and 𝛾(𝑡0 ) = (𝛾1 (𝑡0 ),
coefficients. Besides, there are many functions that do not 𝛾2 (𝑡0 )). Define the stopping times
satisfy the Lipschitz condition. These imply that the Lipschitz
󵄨 󵄨
condition is too restrictive. To improve this Lipschitz condi- 𝜎𝑘 = 𝑇 ∧ inf {𝑡 ∈ [𝑡0 , 𝑇] : 󵄨󵄨󵄨𝑥𝑘 (𝑡)󵄨󵄨󵄨 ≥ 𝑘} . (60)
tion let us introduce the concept of local solution.
Clearly, if 𝑡0 ≤ 𝑡 ≤ 𝜎𝑘 ,
Definition 8. Let 𝜎∞ be a stopping time such that 𝑡0 ≤ 𝜎∞ ≤ 𝑇
a.s. An R𝑛 -valued F𝑡 -adapted continuous stochastic process 𝑥𝑘 (𝑡) = 𝑥𝑘+1 (𝑡) , (61)
{𝑥(𝑡)}𝑡0 ≤𝑡<𝜎∞ is called a local solution of (8) if 𝑥(𝑡0 ) = 𝑥0 and,
which indicates that 𝜎𝑘 is increasing so 𝜎𝑘 has its limit 𝜎∞ =
moreover, there is a nondecreasing sequence {𝜎𝑘 }𝑘≥1 such that
lim𝑘 → +∞ 𝜎𝑘 . Define {𝑥(𝑡) : 𝑡0 ≤ 𝑡 < 𝜎∞ } by
𝑡0 ≤ {𝜎𝑘 } ↑ 𝜎∞ a.s. and
𝑡∧𝜎𝑘 𝑥 (𝑡) = 𝑥𝑘 (𝑡) , 𝑡 ∈ [[𝜎𝑘−1 , 𝜎𝑘 [[ , 𝑘 ≥ 1, (62)
𝑥 (𝑡) = 𝑥 (𝑡0 ) + ∫ 𝑓 (𝑥 (𝑠) , 𝑠, 𝛾1 (𝑠)) 𝑑𝑠
𝑡0 where 𝜎0 = 𝑡0 . Applying (61), one can show that 𝑥(𝑡 ∧ 𝜎𝑘 ) =
(55) 𝑥𝑘 (𝑡 ∧ 𝜎𝑘 ). It then follows from (59) that
𝑡∧𝜎𝑘
+∫ 𝑔 (𝑥 (𝑠) , 𝑠, 𝛾2 (𝑠)) 𝑑𝐵 (𝑠) 𝑡∧𝜎𝑘
𝑡0
𝑥 (𝑡 ∧ 𝜎𝑘 ) = 𝑥0 + ∫ 𝑓𝑘 (𝑥 (𝑠) , 𝑠, 𝛾1 (𝑠)) 𝑑𝑠
𝑡0
holds for any 𝑡 ∈ [𝑡0 , 𝑇) and 𝑘 ≥ 1 with probability one. If,
furthermore, 𝑡∧𝜎𝑘
+∫ 𝑔𝑘 (𝑥 (𝑠) , 𝑠, 𝛾2 (𝑠)) 𝑑𝐵 (𝑠)
lim sup |𝑥 (𝑡)| = ∞ whenever 𝜎∞ < 𝑇, (56) 𝑡0
𝑡 → +𝜎∞ (63)
𝑡∧𝜎𝑘
then it is called a maximal local solution and 𝜎∞ is called the = 𝑥0 + ∫ 𝑓 (𝑥 (𝑠) , 𝑠, 𝛾1 (𝑠)) 𝑑𝑠
𝑡0
explosion time. A maximal local solution {𝑥(𝑡) : 𝑡0 ≤ 𝑡 < 𝜎∞ }
is said to be unique if any other maximal local solution {𝑥(𝑡) : 𝑡∧𝜎𝑘
𝑡0 ≤ 𝑡 < 𝜎∞ } is indistinguishable from it, namely, 𝜎∞ = 𝜎∞ +∫ 𝑔 (𝑥 (𝑠) , 𝑠, 𝛾2 (𝑠)) 𝑑𝐵 (𝑠) ,
𝑡0
and 𝑥(𝑡) = 𝑥(𝑡) for 𝑡0 ≤ 𝑡 < 𝜎∞ with probability one.
for any 𝑡 ∈ [𝑡0 , 𝑇) and 𝑘 ≥ 1. It is easy to see that if 𝜎∞ ≤ 𝑇,
Definition 9 (local Lipschitz condition). For every integer then
𝑘 ≥ 1, there exists a positive constant ℎ𝑘 such that, for all
𝑡 ∈ [𝑡0 , 𝑇], 𝑖 = (𝑖1 , 𝑖2 ) ∈ S and those 𝑥, 𝑦 ∈ R𝑛 with lim sup |𝑥 (𝑡)|
𝑡 → 𝜎∞
|𝑥| ∨ |𝑦| ≤ 𝑘 (64)
󵄨 󵄨 󵄨 󵄨
󵄨󵄨 󵄨2 ≥ lim sup 󵄨󵄨󵄨𝑥 (𝜎𝑘 )󵄨󵄨󵄨 = lim sup 󵄨󵄨󵄨𝑥𝑘 (𝜎𝑘 )󵄨󵄨󵄨 = ∞.
󵄨󵄨𝑓 (𝑥, 𝑡, 𝑖1 ) − 𝑓 (𝑦, 𝑡, 𝑖1 )󵄨󵄨󵄨 𝑘 → +∞ 𝑘 → +∞
(57)
󵄨 󵄨2 󵄨 󵄨2 Therefore {𝑥(𝑡) : 𝑡0 ≤ 𝑡 < 𝜎∞ } is a maximal local solution.
∨ 󵄨󵄨󵄨𝑔 (𝑥, 𝑡, 𝑖2 ) − 𝑔 (𝑦, 𝑡, 𝑖2 )󵄨󵄨󵄨 ≤ ℎ𝑘 󵄨󵄨󵄨𝑥 − 𝑦󵄨󵄨󵄨 .
Now, we will prove the uniqueness. Let {𝑥(𝑡) : 𝑡0 ≤ 𝑡 <
The following theorem shows the existence of unique 𝜎∞ } be another maximal local solution. Define
maximal local solution under the local Lipschitz condition
without the linear growth condition. 𝜎𝑘 = 𝜎∞ ∧ inf {𝑡 ∈ [[𝑡0 , 𝜎∞ [[ : 𝑥 (𝑡) ≥ 𝑘} . (65)
Journal of Applied Mathematics 7

Then 𝜎𝑘 → 𝜎∞ a.s. and Theorem 11. Assume that the local Lipschitz condition (57)
holds. Assume also that there is a function 𝑉(𝑥, 𝑡, (𝑖1 , 𝑖2 )) ∈
𝑃 {𝑥 (𝑡) = 𝑥 (𝑡) , 𝑡 ∈ [[𝑡0 , 𝜎𝑘 ∧ 𝜎𝑘 ]]} = 1 ∀𝑘 ≥ 1. (66) 𝐶2,1 (R𝑛 × R+ × S; R+ ) and a constant 𝜃 > 0 such that

Letting 𝑘 → ∞ gives
lim ( inf 𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 ))) = ∞, (72)
|𝑥| → ∞ (𝑡,(𝑖1 ,𝑖2 ))∈R+ ×S
𝑃 {𝑥 (𝑡) = 𝑥 (𝑡) , 𝑡 ∈ [[𝑡0 , 𝜎∞ ∧ 𝜎∞ [[} = 1. (67)
𝐿𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) ≤ 𝜃 (1 + 𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 ))) ,
In order to complete the proof, we need only to show that (73)
𝜎∞ = 𝜎∞ a.s. In fact, for almost every 𝜔 ∈ {𝜎∞ < 𝜎∞ }, we ∀ (𝑥, 𝑡, (𝑖1 , 𝑖2 )) ∈ R𝑛 × R+ × S.
have
󵄨󵄨 󵄨 Then there exists a unique global solution 𝑥(𝑡) to (69).
󵄨󵄨𝑥 (𝜎∞ , 𝜔)󵄨󵄨󵄨
󵄨 󵄨 󵄨 󵄨 (68) Proof. We need only to prove the theorem for any initial
= lim 󵄨󵄨󵄨𝑥 (𝜎𝑘 , 𝜔)󵄨󵄨󵄨 = lim 󵄨󵄨󵄨𝑥 (𝜎𝑘 , 𝜔)󵄨󵄨󵄨 = ∞, condition 𝑥0 ∈ R𝑛 and (𝛾1 (𝑡0 ), 𝛾2 (𝑡0 )) ∈ S. From Theorem 10,
𝑘 → +∞ 𝑘 → +∞
we know that the local Lipschitz condition guarantees the
which contradicts the fact that 𝑥(𝑡, 𝜔) is continuous on 𝑡 ∈ existence of the unique maximal solution 𝑥(𝑡) on [𝑡0 , 𝜎∞ ),
[𝑡0 , 𝜎∞ (𝜔)). This implies 𝜎∞ ≥ 𝜎∞ a.s. In the same way, one where 𝜎∞ is the explosion time. We need only to show 𝜎∞ =
can show 𝜎∞ ≤ 𝜎∞ a.s. Thus we must have 𝜎∞ = 𝜎∞ a.s. This ∞ a.s. If this is not true, then we can find a pair of positive
completes the proof. constants 𝜀 and 𝑇 such that

In many situations, we often consider an SDE on [𝑡0 , ∞) 𝑃 {𝜎∞ ≤ 𝑇} > 2𝜀. (74)

𝑑𝑥 (𝑡) = 𝑓 (𝑥 (𝑡) , 𝑡, 𝛾1 (𝑡)) 𝑑𝑡 For each integer 𝑘 ≥ 1, define the stopping time
(69)
+ 𝑔 (𝑥 (𝑡) , 𝑡, 𝛾2 (𝑡)) 𝑑𝐵 (𝑡) , 𝑡0 ≤ 𝑡 < ∞ 𝜎𝑘 = inf {𝑡 ≥ 𝑡0 : |𝑥 (𝑡)| ≥ 𝑘} . (75)

with initial data 𝑥(𝑡0 ) = 𝑥0 and 𝛾(𝑡0 ). If the assumption of Since 𝜎𝑘 → 𝜎∞ almost surely, we can find a sufficiently large
the existence-and-uniqueness theorem holds on every finite integer 𝑘0 for
subinterval [𝑡0 , 𝑇] of [𝑡0 , ∞), then (69) has a unique solution
𝑃 {𝜎𝑘 ≤ 𝑇} > 𝜀, ∀𝑘 ≥ 𝑘0 . (76)
𝑥(𝑡) on the entire interval [𝑡0 , ∞). Such a solution is called
a global solution. To establish a more general result about Fix any 𝑘 ≥ 𝑘0 , then for any 𝑡0 ≤ 𝑡 ≤ 𝑇, by virtue of the
global solution, we need more notations. To this end, we generalized Itô formula (see, e.g., [1])
introduce an operator 𝐿𝑉 from R𝑛 × R+ × S to R which is
given by 𝐸𝑉 (𝑥 (𝑡 ∧ 𝜎𝑘 ) , 𝑡 ∧ 𝜎𝑘 , 𝛾 (𝑡 ∧ 𝜎𝑘 ))
𝐿𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) 𝑡∧𝜎𝑘
= 𝑉 (𝑥0 , 𝑡0 , 𝛾0 ) + 𝐸 ∫ 𝐿𝑉 (𝑥 (𝑠) , 𝑠, 𝛾 (𝑠)) 𝑑𝑠
𝑡0
= 𝑉𝑡 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) + 𝑉𝑥 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) 𝑓 (𝑥, 𝑡, 𝑖1 ) (77)
≤ 𝑉 (𝑥0 , 𝑡0 , 𝛾0 ) + 𝜃 (𝑇 − 𝑡0 )
+ 0.5 trace [𝑔𝑇 (𝑥, 𝑡, 𝑖2 ) 𝑉𝑥𝑥 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) 𝑔 (𝑥, 𝑡, 𝑖2 )]
𝑡
+ ∑ 𝑞𝑖1 𝑖2 ;𝑗1 𝑗2 𝑉 (𝑥, 𝑡, (𝑗1 , 𝑗2 )) , + 𝜃 ∫ 𝐸𝑉 (𝑥 (𝑠 ∧ 𝜎𝑘 ) , 𝑠 ∧ 𝜎𝑘 , 𝛾 (𝑠 ∧ 𝜎𝑘 )) 𝑑𝑠.
𝑡0
( 1 2 )∈S
𝑗 ,𝑗
(70) Making use of the Gronwall inequality gives

where 𝑉(𝑥, 𝑡, (𝑖1 , 𝑖2 )) ∈ 𝐶2,1 (R𝑛 × R+ × S; R+ ) and 𝐸𝑉 (𝑥 (𝑡 ∧ 𝜎𝑘 ) , 𝑡 ∧ 𝜎𝑘 , 𝛾 (𝑡 ∧ 𝜎𝑘 ))

(78)
𝜕𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) ≤ [𝑉 (𝑥0 , 𝑡0 , 𝛾0 ) + 𝜃 (𝑇 − 𝑡0 )] exp {𝜃 (𝑇 − 𝑡0 )} .
𝑉𝑡 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) = ;
𝜕𝑡 Therefore
𝑉𝑥 (𝑥, 𝑡, (𝑖1 , 𝑖2 ))
𝐸 (𝐼{𝜎𝑘 ≤𝑇} 𝑉 (𝑥 (𝜎𝑘 ) , 𝜎𝑘 , 𝛾 (𝜎𝑘 )))
𝜕𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) 𝜕𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) (71) (79)
=( ,..., ); ≤ [𝑉 (𝑥0 , 𝑡0 , 𝛾0 ) + 𝜃 (𝑇 − 𝑡0 )] exp {𝜃 (𝑇 − 𝑡0 )} .
𝜕𝑥1 𝜕𝑥𝑛
At the same time, set
𝜕2 𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 ))
𝑉𝑥𝑥 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) = ( ) .
𝜕𝑥𝑖 𝜕𝑥𝑗 𝑛×𝑛
𝑔𝑘 = inf {𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) : |𝑥| ≥ 𝑘, 𝑡 ∈ [𝑡0 , 𝑇] , (𝑖1 , 𝑖2 ) ∈ S} .
(80)
8 Journal of Applied Mathematics

Then (72) means 𝑔𝑘 → ∞. It follows from (76) and (79) that Then one has

[𝑉 (𝑥0 , 𝑡0 , 𝛾0 ) + 𝜃 (𝑇 − 𝑡0 )] exp {𝜃 (𝑇 − 𝑡0 )}
(81) 𝐸|𝑥 (𝑡)|𝑝
≥ 𝑔𝑘 𝑃 {𝜎𝑘 ≤ 𝑇} ≥ 𝜀𝑔𝑘 . 󵄨 󵄨𝑝
≤ 2(𝑝−2)/2 (1 + 𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 ) exp {𝑝𝜃 (𝑡 − 𝑡0 )} ∀𝑡 ∈ [𝑡0 , 𝑇] .
Letting 𝑘 → ∞ yields a contradiction, that is to say, 𝜎∞ = ∞. (89)
The proof is complete.

3. 𝐿𝑃-Estimates Proof. Define 𝑉(𝑥, 𝑡, (𝑖1 , 𝑖2 )) = (1 + |𝑥|2 )𝑝/2 . Making use of

(88) yields
In the previous section, we have investigated the existence
and uniqueness of the solution to (8). In this section, as above,
let 𝑥(𝑡), 𝑡0 ≤ 𝑡 ≤ 𝑇 be the unique solution of (8) with initial 𝐿𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 ))
conditions 𝑥(𝑡0 ) = 𝑥0 and 𝛾(𝑡0 ), and we will estimate the 𝑝th (𝑝−2)/2 𝑇
moment of the solution. = 𝑝(1 + |𝑥|2 ) 𝑥 𝑓 (𝑥, 𝑡, 𝑖1 )

Theorem 12. Assume that there is a function 𝑉(𝑥, 𝑡, (𝑖1 , 𝑖2 )) ∈ 𝑝 (𝑝−2)/2 󵄨

󵄨󵄨𝑔 (𝑥, 𝑡, 𝑖2 )󵄨󵄨󵄨2
+ (1 + |𝑥|2 ) 󵄨 󵄨
𝐶2,1 (R𝑛 × R+ × S; R+ ) and positive constants 𝑝, 𝜂, 𝜃 such that 2
for all (𝑥, 𝑡, (𝑖1 , 𝑖2 )) ∈ R𝑛 × R+ × S, 𝑝 (𝑝 − 2) (𝑝−4)/2 󵄨󵄨 𝑇 󵄨2
+ (1 + |𝑥|2 ) 󵄨󵄨𝑥 𝑔 (𝑥, 𝑡, 𝑖2 )󵄨󵄨󵄨
𝑝 2 󵄨 󵄨
𝜂|𝑥| ≤ 𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) , (82)
(𝑝−2)/2 𝑝 − 1 󵄨󵄨 󵄨2
𝐿𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) ≤ 𝜃𝑉 (𝑥, 𝑡, (𝑖1 , 𝑖2 )) . ≤ 𝑝(1 + |𝑥|2 ) [𝑥𝑇 𝑓 (𝑥, 𝑡, 𝑖1 ) + 󵄨𝑔 (𝑥, 𝑡, 𝑖2 )󵄨󵄨󵄨 ]
2 󵄨
(83)
Assume also the initial condition 𝑥(𝑡0 ) = 𝑥0 and 𝛾(𝑡0 ) obeys 𝑝/2
𝐸𝑉(𝑥0 , 𝑡0 , 𝛾(𝑡0 )) < ∞, then one has ≤ 𝑝𝜃(1 + |𝑥|2 ) .
(90)
𝐸|𝑥 (𝑡)|𝑝

𝐸𝑉 (𝑥0 , 𝑡0 , 𝛾 (𝑡0 )) exp {𝜃 (𝑡 − 𝑡0 )} Then by Theorem 12, we get

≤ , ∀𝑡 ∈ [𝑡0 , 𝑇] .
𝜂
(84) 𝑝/2
𝐸(1 + |𝑥 (𝑡)|2 )
Proof. For each integer 𝑘 ≥ 1, define the stopping time (91)
󵄨 󵄨2 𝑝/2
≤ 𝐸(1 + 󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 ) exp {𝑝𝜃 (𝑡 − 𝑡0 )}
𝜎𝑘 = 𝑇 ∧ inf {𝑡 ≥ 𝑡0 : |𝑥 (𝑡)| ≥ 𝑘} . (85)
Thus 𝜎𝑘 → 𝑇 a.s. Using the generalized Itô’s formula and
and the required assertion (89) follows.
(83), we obtain that for 𝑡 ∈ [𝑡0 , 𝑇]
It is useful to point out that if the linear growth condition
𝐸𝑉 (𝑥 (𝑡 ∧ 𝜎𝑘 ) , 𝑡 ∧ 𝜎𝑘 , 𝛾 (𝑡 ∧ 𝜎𝑘 )) (43) is satisfied, then (88) is fulfilled with 𝜃 = √𝐾 + 𝐾(𝑝 −
1)/2. Now, we will show the other important properties of the
≤ 𝐸𝑉 (𝑥0 , 𝑡0 , 𝛾 (𝑡0 )) solution.
(86)
𝑡 𝑝
Theorem 14. Let 𝑝 ≥ 2 and 𝑥0 ∈ 𝐿 F𝑡 (Ω; R𝑛 ). Assume also
+ 𝜃 ∫ 𝐸𝑉 (𝑥 (𝑠 ∧ 𝜎𝑘 ) , 𝑠 ∧ 𝜎𝑘 , 𝛾 (𝑠 ∧ 𝜎𝑘 )) 𝑑𝑠. 0
𝑡0 that the linear growth condition (43) holds. Then one has
Then the Gronwall inequality indicates
𝐸|𝑥 (𝑡) − 𝑥 (𝑠)|𝑝 ≤ 𝐶(𝑡 − 𝑠)𝑝/2 , (92)
𝐸𝑉 (𝑥 (𝑡 ∧ 𝜎𝑘 ) , 𝑡 ∧ 𝜎𝑘 , 𝛾 (𝑡 ∧ 𝜎𝑘 ))
(87)
≤ 𝐸𝑉 (𝑥0 , 𝑡0 , 𝛾 (𝑡0 )) exp {𝜃 (𝑡 − 𝑡0 )} where
for all 𝑡 ∈ [𝑡0 , 𝑇]. By virtue of condition (83) we obtain the
󵄨 󵄨𝑝
required assertion (84). 𝐶 = 2𝑝−2 (1 + 𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 ) exp {𝑝𝜃 (𝑇 − 𝑡0 )}
𝑝 (93)
Corollary 13. Assume 𝑝 ≥ 2 and 𝑥0 ∈ 𝐿 F𝑡 (Ω; R𝑛 ). Assume 𝑝/2 𝑝/2
0 × ([2 (𝑇 − 𝑡0 )] + [𝑝 (𝑝 − 1)] )
also that there exists a constant 𝜃 > 0 such that, for all
𝑛
(𝑥, 𝑡, (𝑖1 , 𝑖2 )) ∈ R × R+ × S,
𝑝 − 1 󵄨󵄨 and 𝜃 = √𝐾 + 𝐾(𝑝 − 1)/2. Particularly, the 𝑝th moment of the
󵄨2
𝑥𝑇 𝑓 (𝑥, 𝑡, 𝑖1 ) + 󵄨󵄨𝑔 (𝑥, 𝑡, 𝑖2 )󵄨󵄨󵄨 ≤ 𝜃 (1 + |𝑥| ) .
2
(88) solution is continuous on [𝑡0 , 𝑇].
2
Journal of Applied Mathematics 9

Proof. Applying the elementary inequality |𝑎 + 𝑏|𝑝 ≤ Proof. Making use of the generalized Itô’s formula and
2𝑝−1 (|𝑎|𝑝 + |𝑏|𝑝 ), the Hölder inequality, and the linear growth condition (96), we have
condition, we can derive that
|𝑥 (𝑡)|𝑝
󵄨 󵄨𝑝
≤ 󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 𝑀 (𝑡)
𝐸|𝑥 (𝑡) − 𝑥 (𝑠)|𝑝
𝑡
󵄨󵄨 𝑡 󵄨󵄨𝑝 + ∫ 𝑝|𝑥 (𝑠)|𝑝−2 [𝑥𝑇 (𝑠) 𝑓 (𝑥 (𝑠) , 𝑠, 𝛾1 (𝑠))
󵄨 󵄨
≤ 2 𝐸󵄨󵄨󵄨∫ 𝑓 (𝑥 (𝑢) , 𝑢, 𝛾1 (𝑢)) 𝑑𝑢󵄨󵄨󵄨
𝑝−1
𝑡0
󵄨󵄨 𝑠 󵄨󵄨
󵄨󵄨 𝑡 󵄨󵄨𝑝 𝑝 − 1 󵄨󵄨 󵄨2
󵄨 󵄨 + 󵄨𝑔 (𝑥 (𝑠) , 𝑠, 𝛾2 (𝑠))󵄨󵄨󵄨 ] 𝑑𝑠
+ 2𝑝−1 𝐸󵄨󵄨󵄨∫ 𝑔 (𝑥 (𝑢) , 𝑢, 𝛾2 (𝑢)) 𝑑𝐵 (𝑢)󵄨󵄨󵄨 2 󵄨 (98)
󵄨󵄨 𝑠 󵄨󵄨
󵄨 󵄨𝑝
𝑡
≤ 󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 𝑀 (𝑡) + 0.5𝑝 (𝑝 + 1) 𝐾
󵄨 󵄨𝑝
≤ [2 (𝑡 − 𝑠)]𝑝−1 𝐸 ∫ 󵄨󵄨󵄨𝑓 (𝑥 (𝑢) , 𝑢, 𝛾1 (𝑢))󵄨󵄨󵄨 𝑑𝑢 (94) 𝑡
𝑠
× ∫ |𝑥 (𝑠)|𝑝−2 (1 + |𝑥 (𝑠)|2 ) 𝑑𝑠
𝑝/2 𝑡0
+ 0.5[2𝑝 (𝑝 − 1)] (𝑡 − 𝑠)(𝑝−2)/2 𝐸
𝑡
󵄨 󵄨𝑝
󵄨
𝑡
󵄨𝑝 ≤ 󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 𝑀 (𝑡) + 𝑝 (𝑝 + 1) 𝐾 ∫ (1 + |𝑥 (𝑠)|𝑝 ) 𝑑𝑠,
× ∫ 󵄨󵄨󵄨𝑔 (𝑥 (𝑢) , 𝑢, 𝛾2 (𝑢))󵄨󵄨󵄨 𝑑𝑢 𝑡0
𝑠
𝑡 𝑝/2
where
≤ 𝐶1 (𝑡 − 𝑠)(𝑝−2)/2 ∫ 𝐸(1 + |𝑥 (𝑢)|2 ) 𝑑𝑢, 𝑡
𝑠
𝑀 (𝑡) = ∫ 𝑝|𝑥 (𝑠)|𝑝−2 𝑥𝑇 (𝑠) 𝑔 (𝑥 (𝑠) , 𝑠, 𝛾2 (𝑠)) 𝑑𝐵 (𝑠) . (99)
𝑡0

where 𝐶1 = 2(𝑝−2)/2 𝐾𝑝/2 ([2(𝑇 − 𝑡0 )]𝑝/2 + [𝑝(𝑝 − 1)]𝑝/2 ). Using Therefore, for any 𝑡1 ∈ [𝑡0 , 𝑇],
(91) yields
󵄨 󵄨𝑝
𝐸 ( sup |𝑥 (𝑡)|𝑝 ) ≤ 𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 𝐸 ( sup |𝑀 (𝑡)|)
𝑡0 ≤𝑡≤𝑡1 𝑡0 ≤𝑡≤𝑡1
𝐸|𝑥 (𝑡) − 𝑥 (𝑠)|𝑝 𝑡1

(𝑝−2)/2
+ 𝑝 (𝑝 + 1) 𝐾𝐸 ∫ (1 + |𝑥 (𝑠)|𝑝 ) 𝑑𝑠.
≤ 𝐶1 (𝑡 − 𝑠) 𝑡0
(100)
𝑡
󵄨 󵄨𝑝
×∫ 2 (𝑝−2)/2
(1 + 𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 ) exp {𝑝𝜃 (𝑢 − 𝑡0 )} 𝑑𝑢 (95)
𝑠 At the same time, applying the well-known Burkholder-
Davis-Gundy inequality (see, e.g., [2]) gives
󵄨 󵄨𝑝
≤ 𝐶1 2(𝑝−2)/2 (1 + 𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 )

× exp {𝑝𝜃 (𝑇 − 𝑡0 )} (𝑡 − 𝑠)(𝑝/2) , 𝐸 ( sup |𝑀 (𝑡)|)

𝑡0 ≤𝑡≤𝑡1

𝑡 0.5
1
󵄨 󵄨2
which is the desired inequality. ≤ 3𝐸(∫ 𝑝2 |𝑥 (𝑠)|2𝑝−2 󵄨󵄨󵄨𝑔 (𝑥 (𝑠) , 𝑠, 𝛾2 (𝑠))󵄨󵄨󵄨 𝑑𝑠)
𝑡0
𝑝
Theorem 15. Let 𝑝 ≥ 2 and 𝑥0 ∈ 𝐿 F𝑡 (Ω; R𝑛 ).
Assume that
0
𝑛
≤ 3𝐸 ( sup |𝑥 (𝑡)|𝑝
there is a 𝐾 > 0 such that for all (𝑥, 𝑡, (𝑖1 , 𝑖2 )) ∈ R × [𝑡0 , 𝑇] × S 𝑡0 ≤𝑡≤𝑡1

𝑡 0.5
1
󵄨 󵄨2
× ∫ 𝑝2 |𝑥 (𝑠)|𝑝−2 󵄨󵄨󵄨𝑔 (𝑥 (𝑠) , 𝑠, 𝛾2 (𝑠))󵄨󵄨󵄨 𝑑𝑠)
󵄨 󵄨 󵄨 󵄨2
𝑥𝑇 󵄨󵄨󵄨𝑓 (𝑥, 𝑡, 𝑖1 )󵄨󵄨󵄨 ∨ 󵄨󵄨󵄨𝑔 (𝑥, 𝑡, 𝑖2 )󵄨󵄨󵄨 ≤ 𝐾(1 + |𝑥|)2 . (96) 𝑡0

≤ 0.5𝐸 ( sup |𝑥 (𝑡)|𝑝 ) + 4.5𝐸

𝑡0 ≤𝑡≤𝑡1
Then
𝑡1
× ∫ 𝑝2 𝐾|𝑥 (𝑠)|𝑝−2 (1 + |𝑥 (𝑠)|2 ) 𝑑𝑠
𝑡0
𝑝
𝐸 ( sup |𝑥 (𝑡)| ) 𝑡1
𝑡0 ≤𝑡≤𝑇 (97) ≤ 0.5𝐸 ( sup |𝑥 (𝑡)|𝑝 ) + 9𝑝2 𝐾𝐸 ∫ (1 + |𝑥 (𝑠)|𝑝 ) 𝑑𝑠.
𝑡0 ≤𝑡≤𝑡1 𝑡0
󵄨 󵄨𝑝
≤ (1 + 2𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 ) exp {2𝑝 (10𝑝 + 1) 𝐾 (𝑇 − 𝑡0 )} . (101)
10
Substituting the above inequality into (100) gives
󵄨 󵄨𝑝
𝐸 ( sup |𝑥 (𝑡)|𝑝 ) ≤ 2𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨
𝑡0 ≤𝑡≤𝑡1
𝑡1
+ 2𝑝 (10𝑝 + 1) 𝐾 ∫ (1 + |𝑥 (𝑠)|𝑝 ) 𝑑𝑠.
𝑡0
(102)
Thus
1 + 𝐸 ( sup |𝑥 (𝑡)|𝑝 )
𝑡0 ≤𝑡≤𝑡1
󵄨 󵄨𝑝
≤ 1 + 2𝐸󵄨󵄨󵄨𝑥0 󵄨󵄨󵄨 + 2𝑝 (10𝑝 + 1) 𝐾 (103)
𝑡1
× ∫ (1 + sup |𝑥 (𝑡)|𝑝 ) 𝑑𝑠.
𝑡0 𝑡0 ≤𝑡≤𝑠
Then the required assertion follows from the Gronwall
inequality.
Up to now, we have discussed the 𝐿𝑝 -estimates for the
solution in the case when 𝑝 ≥ 2. As for 0 < 𝑝 < 2, the similar
results can be given without any difficulty as long as we note
that the Hölder inequality implies
0.5𝑝
𝐸|𝑥 (𝑡)|𝑝 ≤ [𝐸|𝑥 (𝑡)|2 ] . (104)
4. Example
Consider the following Black-Scholes model:
𝑑𝑋 (𝑡) = 𝜇 (𝛾1 (𝑡)) 𝑋 (𝑡) 𝑑𝑡 + ] (𝛾2 (𝑡)) 𝑋 (𝑡) 𝑑𝐵 (𝑡) , (105)
where 𝛾1 (𝑡) is a right-continuous homogenous Markovian
chain taking values in finite state spaces S1 = {1, 2} and 𝛾2 (𝑡)
is a right-continuous homogenous Markovian chain taking
values in finite state spaces S2 = {1, 2, 3}, 𝜇(𝑖) = 𝑖, 𝑖 = 1, 2,
](𝑗) = 𝑗 + 1, 𝑗 = 1, 2, 3. Taking 𝐾 = 16, 𝐾 = 9, then (42)
and (43) hold. Therefore, by Theorem 7, (105) has a unique
solution.
5. Conclusions and Further Research
This paper is devoted to studying the existence and unique-
ness of solution of SDEs with multi-Markovian switchings
and estimating the 𝑝th moment of the solution. We have used
two continuous-time Markovian chains to model the SDEs.
This area is becoming increasingly useful in engineering,
economics, communication theory, active networking, and
so forth. The sufficient criteria for existence and unique-
ness of solution, local solution, and maximal local solution
were established. Those results indicate that (8) keeps many
properties that (89) owns. At the same time, although the
hypothesis (H1) is used in this paper, we want to point out that
this hypothesis is not essential. In fact, (H1) can be replaced
by the following generalized hypothesis.
Journal of Applied Mathematics
(H1)󸀠 : both 𝛾1 (𝑡) and 𝛾2 (𝑡) are right-continuous homoge-
nous Markovian chains such that 𝛾(𝑡) = (𝛾1 (𝑡), 𝛾2 (𝑡)) is a
homogenous vector chain.
Under hypothesis (H1)󸀠 , the results given in this paper
can be established similarly. It is easy to see that if 𝛾1 (𝑡) ≡
𝛾2 (𝑡) and 𝛾1 (𝑡) is a right-continuous homogenous Markovian
chain, then (H1)󸀠 is fulfilled immediately. At the same time,
if 𝛾1 (𝑡) ≡ 𝛾2 (𝑡), (8) will reduce to the classical SDEs with
single Markovian chain; that is to say, the classical theory
about SDEs with single Markovian chain is a special case
of our theory. On the other hand, many theorems in this
paper will play important roles in further study. For example,
Theorem 15 will be useful when one studies the approximate
solutions.
Some important and interesting questions can be further
investigated using the results in this paper. For example,
approximate solutions, boundedness and stability, stochas-
tic functional differential equations with vector Markovian
switching and their applications. In particular, the stability of
(8) is one of the most important and interesting topics, and
those investigations are in progress.
Acknowledgments
The authors thank the editor and referees for their very
important and helpful comments and suggestions. The
authors also thank Dr. C. Zhang for helping them to improve
the English exposition. This research is supported by the
NSFC of China (nos. 11171081 and 11171056).
References
[1] A. V. Skorokhod, Asymptotic Methods in the Theory of Stochastic
Differential Equations, vol. 78 of Translations of Mathematical
Monographs, American Mathematical Society, Providence, RI,
USA, 1989.
[2] X. Mao and C. Yuan, Stochastic Differential Euations with
Markovian Switching, Imperial College Press, London, UK,
2006.
[3] G. Yin and X. Y. Zhou, “Markowitz’s mean-variance portfolio
selection with regime switching: from discrete-time models to
their continuous-time limits,” IEEE Transactions on Automatic
Control, vol. 49, no. 3, pp. 349–360, 2004.
[4] J. Buffington and R. J. Elliott, “American options with regime
switching,” International Journal of Theoretical and Applied
Finance, vol. 5, no. 5, pp. 497–514, 2002.
[5] C. Zhu and G. Yin, “On competitive Lotka-Volterra model in
random environments,” Journal of Mathematical Analysis and
Applications, vol. 357, no. 1, pp. 154–170, 2009.
[6] Q. Luo and X. Mao, “Stochastic population dynamics under
regime switching,” Journal of Mathematical Analysis and Appli-
cations, vol. 334, no. 1, pp. 69–84, 2007.
[7] X. Li, D. Jiang, and X. Mao, “Population dynamical behavior
of Lotka-Volterra system under regime switching,” Journal of
Computational and Applied Mathematics, vol. 232, no. 2, pp.
427–448, 2009.
[8] X. Li, A. Gray, D. Jiang, and X. Mao, “Sufficient and neces-
sary conditions of stochastic permanence and extinction for
stochastic logistic populations under regime switching,” Journal
Journal of Applied Mathematics 11

of Mathematical Analysis and Applications, vol. 376, no. 1, pp. 11–

28, 2011.
[9] M. Liu and K. Wang, “Asymptotic properties and simulations of
a stochastic logistic model under regime switching,” Mathemat-
ical and Computer Modelling, vol. 54, no. 9-10, pp. 2139–2154,
2011.
[10] G. Hu and K. Wang, “Stability in distribution of competi-
tive Lotka-Volterra system with Markovian switching,” Applied
Mathematical Modelling, vol. 35, no. 7, pp. 3189–3200, 2011.
[11] M. Liu and K. Wang, “Asymptotic properties and simulations
of a stochastic logistic model under regime switching II,”
Mathematical and Computer Modelling, vol. 55, no. 3-4, pp. 405–
418, 2012.
[12] Z. Wu, H. Huang, and L. Wang, “Stochastic delay logistic model
under regime switching,” Abstract and Applied Analysis, vol.
2012, Article ID 241702, 26 pages, 2012.
Advances in Advances in Journal of Journal of
Operations Research
Hindawi Publishing Corporation
Decision Sciences
Hindawi Publishing Corporation
Applied Mathematics
Hindawi Publishing Corporation
Algebra
Hindawi Publishing Corporation
Probability and Statistics
Hindawi Publishing Corporation
http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014

The Scientific International Journal of

World Journal
Hindawi Publishing Corporation
Differential Equations
Hindawi Publishing Corporation
http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014

Submit your manuscripts at

http://www.hindawi.com

International Journal of Advances in

Combinatorics
Hindawi Publishing Corporation
Mathematical Physics
Hindawi Publishing Corporation
http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014

Journal of Journal of Mathematical Problems Abstract and Discrete Dynamics in

Complex Analysis
Hindawi Publishing Corporation
Mathematics
Hindawi Publishing Corporation
in Engineering
Hindawi Publishing Corporation
Applied Analysis
Hindawi Publishing Corporation
Nature and Society
Hindawi Publishing Corporation
http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014

International
Journal of Journal of
Mathematics and
Mathematical
Discrete Mathematics
Sciences

Journal of International Journal of Journal of

Hindawi Publishing Corporation Hindawi Publishing Corporation Volume 2014

http://www.hindawi.com
Function Spaces
Hindawi Publishing Corporation
Volume 2014 http://www.hindawi.com http://www.hindawi.com
Stochastic Analysis
Hindawi Publishing Corporation
Optimization
Hindawi Publishing Corporation
Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014