Stochastic Differential Equations with Multi‐Markovian Switching

Meng Liu and Ke Wang

Journal of Applied Mathematics, 2013, vol. 2013, issue 1

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

Date: 2013
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https://doi.org/10.1155/2013/357869

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2013:y:2013:i:1:n:357869

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