Stochastic Differential Equations With Markovian Switching
Explore this paper's citation graph
Summary
This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching at an introductory level but emphasizes current advanced level research trends.
- Type
- book
- Published
- 2006-08-10
- Cited by
- 1,826
- References
- 0
- OpenAlex
- https://openalex.org/W2900812847
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:69879354
Keywords
Stochastic differential equation, Markov process, Markov chain, Mathematics, Applied mathematics
References
No references recorded for this paper.
Cited by
- Strongly Nonlinear Ait-Sahalia-Type Interest Rate Model and its Numerical Approximation
- Spatio-temporal stochastic hybrid models of biological excitable membranes
- Fixed point technique for a class of nonlinear systems and application to stochastic resonance
- Almost sure state estimation for a class of nonlinear stochastic Markovian jump systems
- Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation
- Properties Of Nonlinear Randomly Switching Dynamic Systems: Mean-Field Models And Feedback Controls For Stabilization
- Large fluctuations of stochastic differential equations with regime switching: applications to simulation and finance
- Stability And Controls For Stochastic Dynamic Systems
- Periodic solution for stochastic non-autonomous multispecies Lotka-Volterra mutualism type ecosystem
- Analysis on exponential stability of hybrid pantograph stochastic differential equations with highly nonlinear coefficients
- Some remarks on infinite horizon stochastic H2/H∞ control with (x, u, v)-dependent noise and Markov jumps
- Nonlinear Analysis: Real World Applications
- Analysis of a stochastic logistic model with diffusion
- Investment-Consumption with a Randomly Terminating Income
- Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space
- Permanence and Extinction of Regime-Switching Predator-Prey Models
- Stability of stochastic differential equations in infinite dimensions
- Classication of the asymptotic behaviour of solutions of stochastic differential equations with state independent noise
- Adaptive estimation for delayed neural networks with Markovian jumping parameters
- H_∞ H∞ Estimation for Markovian Jump Neural Networks With Quantization, Transmission Delay and Packet Dropout
Related papers
- Comparison of Three Web Search Algorithms
- The Strong Law of Large Numbers for Markov Chains in Markovian Environments
- BDSDEs with Markov Chains and applications in Markovian-Switching LQ problems for backward doubly stochastic system
- Decomposition and aggregation of large-dimensional Markov chains in discrete time
- The Strong Convergence of Weighted Sums of Function for Finite State Markov Chains in Single Infinitely Markovian Environments
- First-passage times for non-Markovian processes: Correlated impacts on a free process.
- Rare switching events in non-stationary systems.
- Parameter-Dependent Poisson Equations: Tools for Stochastic Approximation in a Markovian Framework*