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Numerical solution algorithms for stochastic differential systems with switching diffusion

  • Large Scale Systems Control
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Abstract

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.

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Authors and Affiliations

  1. Arzamas Polytechnic Institute of Alekseev Nizhni Novgorod State Technical University, Arzamas, Russia

    N. V. Chernykh & P. V. Pakshin

Authors
  1. N. V. Chernykh
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  2. P. V. Pakshin
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Original Russian Text © N.V. Chernykh, P.V. Pakshin, 2012, published in Upravlenie Bol’shimi Sistemami, 2012, No. 36, pp. 106–142.

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Chernykh, N.V., Pakshin, P.V. Numerical solution algorithms for stochastic differential systems with switching diffusion. Autom Remote Control 74, 2037–2063 (2013). https://doi.org/10.1134/S0005117913120072

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  • DOI: https://doi.org/10.1134/S0005117913120072

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