Existence and uniqueness theorem for stochastic differential equations with self-exciting switching

DOI10.1155/2011/549651zbMath1236.60054OpenAlexW2017300549WikidataQ58655505 ScholiaQ58655505MaRDI QIDQ541342

Ke Wang, Guixin Hu

Publication date: 7 June 2011

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/549651

zbMATH Keywords

stochastic differential equationsexistence and uniqueness theoremself-exciting switching

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites Work

• Properties of solutions of stochastic differential equations with continuous-state-dependent switching
• Neutral Stochastic Differential Delay Equations with Markovian Switching

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