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

DOI10.1016/j.apm.2010.11.002zbMath1217.65015MaRDI QIDQ552463

Zhonghua Ma, Baojian Yin

Publication date: 21 July 2011

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2010.11.002

zbMATH Keywords

numerical analysis; neutral stochastic delay differential equations; phase semi-Markovian switching; semi-implicit Euler-Maruyama method

Mathematics Subject Classification ID

34K50: Stochastic functional-differential equations

65C30: Numerical solutions to stochastic differential and integral equations

60J27: Continuous-time Markov processes on discrete state spaces

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