Stochastic Differential Equations with Multi-Markovian Switching

Meng Liu and Ke Wang

Journal of Applied Mathematics, 2013, vol. 2013, 1-11

Abstract:

This paper is concerned with stochastic differential equations (SDEs) with multi-Markovian switching. The existence and uniqueness of solution are investigated, and the p th moment of the solution is estimated. The classical theory of SDEs with single Markovian switching is extended.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:357869

DOI: 10.1155/2013/357869

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