Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems

DOI10.1016/j.ejor.2012.02.040zbMath1253.93122MaRDI QIDQ1926896

Rosario Romera, Héctor Cañada

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/4668

zbMATH Keywords

simulation; stochastic differential equations; uncertainty modeling; controlled Markov chains

Mathematics Subject Classification ID

60J60: Diffusion processes

34F05: Ordinary differential equations and systems with randomness

93E03: Stochastic systems in control theory (general)

65C30: Numerical solutions to stochastic differential and integral equations

60J27: Continuous-time Markov processes on discrete state spaces

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