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Mao, X.R. and Yuan, C.G. (2005) Numerical Method for Stationary Distribution of Stochastic Differential Equations with Markovian Switching. Journal of Computational and Applied Mathematics, 174, 1-27.
https://doi.org/10.1016/j.cam.2004.03.016

has been cited by the following article:

• TITLE: On the Contribution of the Stochastic Integrals to Econometrics

  AUTHORS: Lewis N. K. Mambo, Rostin M. M. Mabela, Isaac K. Kanyama, Eugène M. Mbuyi

  KEYWORDS: Stochastic Continuous-Time Models, Stochastic Volatility, AR (1)-GARCH (1, 1) Models, Inflation Rate

  JOURNAL NAME: Applied Mathematics, Vol.10 No.12, December 23, 2019

  ABSTRACT: The purpose of this paper is to present the theorical connection between the Itô stochastic calculus and the Financial Econometrics. This paper has two contributions. First, we give the backgrounds on how the stochastic calculus is used to model the real data with the uncertainties. Finally, by using Consumer Price Index (CPI) from the Central Bank of Congo and combining the Itô stochastic calculus and the AR (1)-GARCH (1, 1) model, we estimate the stochastic volatility of inflation rate measuring efficency of monetary policy. Thus the stochastic integrals are the powerful tools of mathematical modelling and econometric analysis.