Numerical solution algorithms for stochastic differential systems with switching diffusion

This paper considers mathematical models of hybrid systems governed by stochastic differential equations with Markovian switching of the diffusion component. An extension of the well-known numerical Taylor schemes is proposed to approximate solutions of such equations. Finally, the results of numeri...

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Bibliographic Details
Published in:	Automation and remote control Vol. 74; no. 12; pp. 2037 - 2063
Main Authors:	Chernykh, N. V., Pakshin, P. V.
Format:	Journal Article
Language:	English
Published:	Boston Springer US 01.12.2013
Subjects:	Approximation CAE) and Design Calculus of Variations and Optimal Control; Optimization Computer-Aided Engineering (CAD Control Large Scale Systems Control Mathematics Mathematics and Statistics Mechanical Engineering Mechatronics Robotics Systems Theory Transition Rate Matrix Wiener Process Markovian Switching Switching Instant Remote Control
ISSN:	0005-1179, 1608-3032
Online Access:	Get full text
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