Communications in Information and Systems

Volume 15 (2015)

Number 4

Properties for a class of multi-type mean-field models

Pages: 489 – 519

DOI: https://dx.doi.org/10.4310/CIS.2015.v15.n4.a4

Authors

Tuan Anh Hoang (Department of Mathematics, Wayne State University, Detroit, Michigan, U.S.A.)

George Yin (Department of Mathematics, Wayne State University, Detroit, Michigan, U.S.A.)

Abstract

This work develops properties of a class of multi-type mean-field models represented by solutions of stochastic differential equations with random switching. Using stochastic calculus, we prove the existence and uniqueness of the global solution and its positivity. In addition to deriving bounds on the moments of the solutions, we derive upper and lower bounds of the growth, and decay rates of the solutions.

Keywords

mean-field model, moment bound, recurrence

Published 13 June 2016