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 language | English |
|---|---|
| Publisher | Delft University of Technology |
| Number of pages | 17 |
| Publication status | Published - 2011 |
Keywords
- Stochastic hybrid systems
- Strong Markov property
- Hybrid jumps
- Strong solutions
- Exis- tence and Uniqueness