An analytic approximation of solutions of stochastic differential delay equations with Markovian switching

DOI10.1016/j.mcm.2009.07.006zbMath1185.65009OpenAlexW2038288329MaRDI QIDQ970044

Jianhai Bao, Zhen Ting Hou

Publication date: 8 May 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.07.006

zbMATH Keywords

strong convergenceTaylor approximationMarkovian switchingstochastic differential delay equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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