Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems Articles uri icon

publication date

  • September 2012

start page

  • 614

end page

  • 624


  • 3


  • 221

International Standard Serial Number (ISSN)

  • 0377-2217

Electronic International Standard Serial Number (EISSN)

  • 1872-6860


  • In this paper the intrinsic complex nature of engineering systems under control is treated by introducing an approach based on Controlled Stochastic Differential Equations with Markovian Switchings (in short CSDEMS). Technical conditions for the existence and uniqueness of the solutions of the CSDEMS are provided. In this context it is not unusual to deal with non-linear CSDEMS that cannot be solved analytically. Therefore, we develop a new two-step, predictor-corrector method for finding numerical approximations to solutions of CSDEMS. This method utilizes the Euler-Maruyama method. An illustrative application to the biochemical engineering area is presented to highlight the usefulness of our approach as a simulation tool.


  • controlled markov chains; stochastic differential equations; uncertainty modeling; simulation