Numerical solution algorithms for stochastic differential systems with switching diffusion

DOI10.1134/S0005117913120072zbMath1292.60072MaRDI QIDQ2441251

P. V. Pakshin, N. V. Chernykh

Publication date: 24 March 2014

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

strong convergencestochastic differential equationsnumerical approximationcomputer experiments

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Unnamed Item ⋮ Unnamed Item ⋮ Maximum cross section method in the filtering problem for continuous systems with Markovian switching ⋮ Unnamed Item ⋮ Statistical filtering algorithms for systems withrandom structure

Cites Work

• Unnamed Item
• Numerical solution of SDE through computer experiments. Including floppy disk
• Stability of stochastic differential equations with Markovian switching
• Approximation Methods for Hybrid Diffusion Systems with State-Dependent Switching Processes: Numerical Algorithms and Existence and Uniqueness of Solutions

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