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Upravlenie Bol'shimi Sistemami, 2012, Issue 36, Pages 106–143 (Mi ubs583)  
This article is cited in 5 scientific papers (total in 5 papers)

Mathematical Control Theory

Algorithms for numerical solution of stochastic differental systems with switching diffusion

N. Chernykh, P. V. Pakshin

Arzamas Polytechnic Institute of R.E. Alekseev, Nizhny Novgorod State Technical University
Full-text PDF (1828 kB) Citations (5)
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Abstract: Mathematical models are considered of hybrid systems in the form of stochastic differential equations with Markovian switching of the diffusion component. An extension of Taylor schemes for numerical approximation of their solutions is proposed. Modeling results in SCILAB are presented to demonstrate efficiency of the obtained algorithms.
Keywords: stochastic systems, diffusion process, Markovian switching, Taylor schemes, convergence, stability.
English version:
Automation and Remote Control, 2013, Volume 74, Issue 12, Pages 2037–2063
DOI: https://doi.org/10.1134/S0005117913120072
Bibliographic databases:
Document Type: Article
UDC: 519.6+004.94
BBC: 22.193
Language: Russian
Citation: N. Chernykh, P. V. Pakshin, “Algorithms for numerical solution of stochastic differental systems with switching diffusion”, UBS, 36 (2012), 106–143; Autom. Remote Control, 74:12 (2013), 2037–2063
Citation in format AMSBIB
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\by N.~Chernykh, P.~V.~Pakshin
\paper Algorithms for numerical solution of stochastic differental systems with switching diffusion
\jour UBS
\yr 2012
\vol 36
\pages 106--143
\mathnet{http://mi.mathnet.ru/ubs583}
\elib{https://elibrary.ru/item.asp?id=17678312}
\transl
\jour Autom. Remote Control
\yr 2013
\vol 74
\issue 12
\pages 2037--2063
\crossref{https://doi.org/10.1134/S0005117913120072}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000328621300007}
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    • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Upravlenie Bol'shimi Sistemami
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    Full-text PDF :110
    References:49
    First page:2
     
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