| Article ID: | iaor2014126 |
| Volume: | 74 |
| Issue: | 12 |
| Start Page Number: | 2037 |
| End Page Number: | 2063 |
| Publication Date: | Dec 2013 |
| Journal: | Automation and Remote Control |
| Authors: | Pakshin P, Chernykh N |
| Keywords: | stochastic processes, programming: mathematical, numerical analysis |
This paper considers mathematical models of hybrid systems governed by stochastic differential equations with Markovian switching of the diffusion component. An extension of the well‐known numerical Taylor schemes is proposed to approximate solutions of such equations. Finally, the results of numerical simulation in