Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching (Q2371996): Difference between revisions

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.