Stochastic Differential Equations with Markovian Switching

Citations Over TimeTop 1% of 2006 papers

Abstract

This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic principles at an introductory level but emphasizes current advanced level research trends. The material takes into account all the features of Ito equations, Markovian switching, interval systems and time-lag. The theory developed is applicable in different and complicated situations in many branches of science and industry.

Related Papers

• → Comparison of Three Web Search Algorithms(2006)1 cited
• → Decomposition and aggregation of large-dimensional Markov chains in discrete time(2003)7 cited
• BDSDEs with Markov Chains and applications in Markovian-Switching LQ problems for backward doubly stochastic system(2011)
• The Strong Law of Large Numbers for Markov Chains in Markovian Environments(2003)