Stochastic differential equations with Markovian switching

X. Mao, C. Yuan

Research output: Book/ReportBook

4 Citations (Scopus)


This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic principles at an introductory level but emphasizes current advanced level research trends. The material takes into account all the features of Ito equations, Markovian switching, interval systems and time-lag. The theory developed is applicable in different and complicated situations in many branches of science and industry.
Original languageEnglish
Place of PublicationLondon
Number of pages428
Publication statusPublished - 22 Sep 2006


  • stochastic
  • differential equations
  • markovian switching

Cite this