Stochastic differential equations with Markovian switching

X. Mao, C. Yuan

Research output: Book/ReportBook

3 Citations (Scopus)

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.
Original languageEnglish
Place of PublicationLondon
Number of pages428
Publication statusPublished - 22 Sep 2006

Fingerprint

Markovian Switching
Stochastic Equations
Differential equation
Interval Systems
Time Lag
Branch
Industry
Presentation
Trends

Keywords

  • stochastic
  • differential equations
  • markovian switching

Cite this

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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.",
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Stochastic differential equations with Markovian switching. / Mao, X.; Yuan, C.

London, 2006. 428 p.

Research output: Book/ReportBook

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KW - differential equations

KW - markovian switching

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