Journal of Applied Mathematics
Volume 2013 (2013), Article ID 357869, 11 pages
http://dx.doi.org/10.1155/2013/357869
Research Article

Stochastic Differential Equations with Multi-Markovian Switching

Meng Liu1 and Ke Wang2

1School of Mathematical Science, Huaiyin Normal University, Huai'an 223300, China
2Department of Mathematics, Harbin Institute of Technology, Weihai 264209, China

Received 31 August 2012; Revised 2 March 2013; Accepted 5 March 2013

Academic Editor: Jose L. Gracia

Copyright © 2013 Meng Liu and Ke Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This paper is concerned with stochastic differential equations (SDEs) with multi-Markovian switching. The existence and uniqueness of solution are investigated, and the pth moment of the solution is estimated. The classical theory of SDEs with single Markovian switching is extended.