Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
type: Item
instance of: scholarly article
title: Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
zbMATH Open document ID: 1120.65003
author: Zhaoguang Chang
author: Ronghua Li
published in: Applied Mathematics and Computation
publication date: 2007-05-14T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 34K50
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65L20
zbMATH DE Number: 5152354
zbMATH Keywords: stochastic delay differential equation
zbMATH Keywords: Poisson jump
zbMATH Keywords: Markovian switching
zbMATH Keywords: Euler approximation
zbMATH Keywords: numerical examples
zbMATH Keywords: convergence
Wikidata QID: Q115361880
MaRDI profile type: Publication
full work available at URL: j.amc.2006.06.112
OpenAlex ID: W2020781588
cites work: Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance
cites work: Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
cites work: Q5479951
cites work: Convergence of numerical solutions to stochastic delay differential equations with jumps
cites work: Convergence and stability of numerical solutions to SDDEs with Markovian switching
cites work: Stochastic differential delay equations with Markovian switching
cites work: Q4940263
cites work: Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
cites work: Numerical solutions of stochastic differential delay equations under local Lipschitz condition
cites work: Almost sure exponential stability of neutral stochastic differential difference equations
cites work: Convergence of the Euler scheme for a class of stochastic differential equations
DOI: 10.1016/J.AMC.2006.06.112
description: scientific article; zbMATH DE number 5152354