Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching (Q552463): Difference between revisions

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English	Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching	scientific article

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scholarly article

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title

Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching (English)

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zbMATH Open document ID

1217.65015

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DOI

10.1016/j.apm.2010.11.002

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Applied Mathematical Modelling

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publication date

21 July 2011

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Mathematics Subject Classification ID

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numerical analysis

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semi-implicit Euler-Maruyama method

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neutral stochastic delay differential equations

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phase semi-Markovian switching

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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.apm.2010.11.002

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OpenAlex ID

W2061218760

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cites work

Numerical Solutions of Neutral Stochastic Functional Differential Equations

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Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching

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Q3137918

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Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Approximate solutions for a class of stochastic evolution equations with variable delays. II

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Numerical Solutions of Stochastic Functional Differential Equations

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Numerical solutions of stochastic differential delay equations under local Lipschitz condition

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The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps

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Q5479951

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Numerical methods for nonlinear stochastic differential equations with jumps

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Neutral Stochastic Differential Delay Equations with Markovian Switching

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

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Convergence and stability of numerical solutions to SDDEs with Markovian switching

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Convergence of numerical solutions to stochastic delay differential equations with jumps

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Stochastic Differential Equations with Markovian Switching

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Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching

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Approximate solutions of stochastic differential delay equations with Markovian switching

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

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Q3876725

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Q5827433

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Stochastic stability of linear systems with semi-Markovian jump parameters

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Stochastic Stability of Ito Differential Equations With Semi-Markovian Jump Parameters

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Some remarks on the duality of continuous time markov chains

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Sitelinks

Mathematics(1 entry)

mardi Publication:552463

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+Numerical Solutions of Neutral Stochastic Functional Differential Equations
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@@ Property / cites work @@
+Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
+Normal rank
@@ Property / cites work @@
+Q3137918
@@ Property / cites work: Q3137918 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Approximate solutions for a class of stochastic evolution equations with variable delays. II
+Normal rank
@@ Property / cites work @@
+Numerical Solutions of Stochastic Functional Differential Equations
+Normal rank
@@ Property / cites work @@
+Numerical solutions of stochastic differential delay equations under local Lipschitz condition
+Normal rank
@@ Property / cites work @@
+The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
+Normal rank
@@ Property / cites work @@
+Q5479951
@@ Property / cites work: Q5479951 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for nonlinear stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Neutral Stochastic Differential Delay Equations with Markovian Switching
+Normal rank
@@ Property / cites work @@
+Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
+Normal rank
@@ Property / cites work @@
+Convergence and stability of numerical solutions to SDDEs with Markovian switching
+Normal rank
@@ Property / cites work @@
+Convergence of numerical solutions to stochastic delay differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Equations with Markovian Switching
+Normal rank
@@ Property / cites work @@
+Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
+Normal rank
@@ Property / cites work @@
+Approximate solutions of stochastic differential delay equations with Markovian switching
+Normal rank
@@ Property / cites work @@
+Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
+Normal rank
@@ Property / cites work @@
+Q3876725
@@ Property / cites work: Q3876725 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5827433
@@ Property / cites work: Q5827433 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic stability of linear systems with semi-Markovian jump parameters
+Normal rank
@@ Property / cites work @@
+Stochastic Stability of Ito Differential Equations With Semi-Markovian Jump Parameters
+Normal rank
@@ Property / cites work @@
+Some remarks on the duality of continuous time markov chains
+Normal rank
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+Publication:552463