Note: This content is accessible to all versions of every browser. However, this browser does not seem to support current Web standards, preventing the display of our site's design details.


Preserving exponential mean-square stability in the simulation of hybrid SDEs

Positive results are derived concerning the long time dynamics of numerical simulations of stochastic differential equation systems with Markovian switching. Euler-Maruyama and implicit theta-method discretizations are shown.

Type of Seminar:
Public Seminar
Prof. Chenggui Yuan
University of Wales Swansea
Jun 13, 2007   17:15

ETH Zentrum, Gloriastrasse 35, Building ETZ, Room E 6
Contact Person:

Prof. John Lygeros
File Download:

Request a copy of this publication.
Biographical Sketch:
Dr Chenggui Yuan received the BSc degree from Mathematic Department of Central China Normal University, Wuhan, China in 1985; MSc degree from Mathematic Department of Beijing Normal University, Beijing, China in 1988; PhD degree from Research Department of Central South University, Changsha, China in 1994 and was then promoted to Associate Professor at Central South University in 1996. In 2000-2003 as a research student, he studied at the Department of Statistics and Modelling Science, University of Strathclyde to get his second PhD. He was a research associate of Department of the Engineering, University of Cambridge in 2003-2004. He is now a Lecturer of Department of Mathematics, University of Wales Swansea. His research interests are: Hybrid systems; Markov processes; Mathematical Finance; Stochastic Analysis; Stochastic control.