Journal of Applied Mathematics

Stochastic Differential Equations with Multi-Markovian Switching

Meng Liu and Ke Wang

Full-text: Open access

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.

Article information

Source
J. Appl. Math., Volume 2013 (2013), Article ID 357869, 11 pages.

Dates
First available in Project Euclid: 14 March 2014

Permanent link to this document
https://projecteuclid.org/euclid.jam/1394807905

Digital Object Identifier
doi:10.1155/2013/357869

Mathematical Reviews number (MathSciNet)
MR3039711

Zentralblatt MATH identifier
1266.60105

Citation

Liu, Meng; Wang, Ke. Stochastic Differential Equations with Multi-Markovian Switching. J. Appl. Math. 2013 (2013), Article ID 357869, 11 pages. doi:10.1155/2013/357869. https://projecteuclid.org/euclid.jam/1394807905


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