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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Summary: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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0005-1179
1608-3032
DOI:10.1134/S0005117913120072