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 06:53, 5 March 2024

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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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