Convergence and stability of numerical solutions to SDDEs with Markovian switching (Q2493691): Difference between revisions

The authors consider the numerical solution of stochastic delay differential equations (SDDEs) that are influenced by Markov switching processes. It clarifies the numerical stability and strong convergence of the Euler method.

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reviewed by

Eckhard Platen

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Mathematics Subject Classification ID

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Markov switching

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strong approximation

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Euler method

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stochastic delay differential equation

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MS-stability

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strong convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2005.08.026

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OpenAlex ID

W1994718276

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cites work

Stochastic differential delay equations with Markovian switching

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Q4940263

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Introduction to the numerical analysis of stochastic delay differential equations

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Weak discrete time approximation of stochastic differential equations with time delay

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Numerical solutions of stochastic differential delay equations under local Lipschitz condition

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Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

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Continuous-time Markov chains. An applications-oriented approach

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MS-stability of the Euler--Maruyama method for stochastic differential delay equations

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Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.

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Sitelinks

Mathematics(1 entry)

mardi Publication:2493691

@@ Property / cites work @@
+Stochastic differential delay equations with Markovian switching
+Normal rank
@@ Property / cites work @@
+Q4940263
@@ Property / cites work: Q4940263 / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to the numerical analysis of stochastic delay differential equations
+Normal rank
@@ Property / cites work @@
+Weak discrete time approximation of stochastic differential equations with time delay
+Normal rank
@@ Property / cites work @@
+Numerical solutions of stochastic differential delay equations under local Lipschitz condition
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
+Normal rank
@@ Property / cites work @@
+Continuous-time Markov chains. An applications-oriented approach
+Normal rank
@@ Property / cites work @@
+MS-stability of the Euler--Maruyama method for stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
+Normal rank