N. Chernykh, “Implicit strong methods for the numerical solution modelling for stochastic differential equations with markovian switching”, UBS, 2014, Issue 50,Pages <nobr>58

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

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.

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