An analytic approximation of solutions of stochastic differential delay equations with Markovian switching

DOI10.1016/j.mcm.2009.07.006zbMath1185.65009MaRDI QIDQ970044

Jianhai Bao, Zhen Ting Hou

Publication date: 8 May 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.07.006

zbMATH Keywords

strong convergence; Taylor approximation; Markovian switching; stochastic differential delay equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching, A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching, Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching, Taylor approximation of stochastic functional differential equations with the Poisson jump, Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay, Dynamics of a stochastic Gilpin-Ayala population model with Markovian switching and impulsive perturbations

Cites Work

• Unnamed Item
• Unnamed Item
• Comparison principle and stability criteria for stochastic differential delay equations with Markovian switching
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Robust stability and controllability of stochastic differential delay equations with Markovian switching.
• Stability of stochastic differential equations with Markovian switching
• An analytic approximation of solutions of stochastic differential equations
• Stability of a random diffusion with linear drift
• Stochastic differential delay equations with Markovian switching
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Stability in distribution of stochastic differential delay equations with Markovian switching
• Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
• Stochastic Differential Equations with Markovian Switching
• Stochastic differential equations. An introduction with applications.