Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
type: Item
instance of: scholarly article
title: Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
zbMATH Open document ID: 1168.65007
author: Shaobo Zhou
author: Fuke Wu
published in: Journal of Computational and Applied Mathematics
publication date: 2009-06-11T00:00:00Z
review text: The Euler-Maruyama method for neutral stochastic delay differential equation with Markovian switching is considered.
reviewed by: Grigori N. Milstein
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 34K50
Mathematics Subject Classification ID: 34K28
zbMATH DE Number: 5564247
zbMATH Keywords: neutral stochastic delay differential equation
zbMATH Keywords: Euler-Maruyama method
zbMATH Keywords: Markovian switching
MaRDI profile type: Publication
full work available at URL: j.cam.2008.10.013
OpenAlex ID: W2019056442
cites work: Numerical solutions of stochastic differential delay equations under local Lipschitz condition
cites work: Numerical Solutions of Stochastic Functional Differential Equations
cites work: Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
cites work: Convergence and stability of numerical solutions to SDDEs with Markovian switching
cites work: Convergence of numerical solutions to stochastic delay differential equations with jumps
cites work: Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
cites work: Introduction to the numerical analysis of stochastic delay differential equations
cites work: Mean-square stability properties of an adaptive time-stepping SDE solver
cites work: Numerical solution of stochastic differential problems in the biosciences
cites work: Neutral Stochastic Differential Delay Equations with Markovian Switching
cites work: Q4693053
cites work: Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
DOI: 10.1016/J.CAM.2008.10.013
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description: scientific article; zbMATH DE number 5564247