Abstract:
We consider mathematical models of hybrid systems in the form of stochastic differential equations with Markovian switchings and a state-dependent switching component. We propose an extension of Euler, Milshtein, and Taylor schemes for numerical approximation of solutions for such stochastic differential equations. Quality of approximations is experimentally compared in Scilab software for numerical computation.
Keywords:stochastic systems, Markovian switchings, Euler schemes, Milstein, Taylor for stochastic systems, convergence, stability, an error, a confidential interval.
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