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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Veröffentlicht in:Automation and remote control Jg. 74; H. 12; S. 2037 - 2063
Hauptverfasser: Chernykh, N. V., Pakshin, P. V.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Boston Springer US 01.12.2013
Schlagworte:
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-Zugang:Volltext
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Beschreibung
Zusammenfassung: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 numerical simulation in Scilab are presented.
Bibliographie:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0005-1179
1608-3032
DOI:10.1134/S0005117913120072