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Upravlenie Bol'shimi Sistemami, 2014, Issue 50, Pages 58–83 (Mi ubs772)  
Information Technology Applications in Control

Implicit strong methods for the numerical solution modelling for stochastic differential equations with markovian switching

N. Chernykh

Nizhny Novgorod State Technical University
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Abstract: We study implicit strong approximate methods for stochastic differential equations with Markovian switching (SDEwMSs). Theoretical results are verified with numerical examples in Scilab framework.
Keywords: stochastic systems, Markovian switching, state-dependent switching, implicit strong numerical scheme, convergence.
Document Type: Article
UDC: 519.6+004.94
BBC: 22.193
Language: Russian
Citation: N. Chernykh, “Implicit strong methods for the numerical solution modelling for stochastic differential equations with markovian switching”, UBS, 50 (2014), 58–83
Citation in format AMSBIB
\Bibitem{Che14}
\by N.~Chernykh
\paper Implicit strong methods for the numerical solution modelling for stochastic differential equations with markovian switching
\jour UBS
\yr 2014
\vol 50
\pages 58--83
\mathnet{http://mi.mathnet.ru/ubs772}
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