Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching

DOI10.1016/j.amc.2006.06.112zbMath1120.65003OpenAlexW2020781588WikidataQ115361880 ScholiaQ115361880MaRDI QIDQ879504

Zhaoguang Chang, Rong-Hua Li

Publication date: 14 May 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.06.112

zbMATH Keywords

convergencenumerical examplesEuler approximationMarkovian switchingstochastic delay differential equationPoisson jump

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Almost sure exponential stability of neutral stochastic differential difference equations
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Stochastic differential delay equations with Markovian switching
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Convergence and stability of numerical solutions to SDDEs with Markovian switching
• Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
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