On strong Markov property of solutions to stochastic differential equations on hybrid state spaces

Jaroslav Krystul, Arunabha Bagchi, H.A.P. Blom

Research output: Book/ReportReportScientific

32 Downloads (Pure)

Abstract

In this paper we study a class of strong Markov solutions to stochastic differential equations on a hybrid state spaces. We construct stochastic hybrid processes as solutions to Ito-Skorohod type stochastic differential equations. Then we present strong existence and uniqueness results and show that under weak conditions these solutions are strong Markov processes.
Original languageEnglish
PublisherDelft University of Technology
Number of pages17
Publication statusPublished - 2011

Keywords

  • Stochastic hybrid systems
  • Strong Markov property
  • Hybrid jumps
  • Strong solutions
  • Exis- tence and Uniqueness

Fingerprint

Dive into the research topics of 'On strong Markov property of solutions to stochastic differential equations on hybrid state spaces'. Together they form a unique fingerprint.

Cite this