Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching (Q2371996): Difference between revisions
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Revision as of 19:29, 14 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching |
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Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching (English)
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10 July 2007
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The authors tackle the question of approximating the solutions of such equations as mentioned in the title. A step size is chosen first, and a discrete Markov chain is simulated to account for the Markovian switching. Then an explicit Euler-Maruyama approximation scheme is set out. Strong convergence to the exact solution under local Lipschitz conditions is investigated.
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Markovian switching
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Poisson jump
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Euler-Maruyama scheme
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local Lipschitz conditions
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stochastic differential delay equations
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Markov chain
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convergence
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