Convergence and stability of numerical solutions to SDDEs with Markovian switching

DOI10.1016/j.amc.2005.08.026zbMath1095.65005MaRDI QIDQ2493691

Rong-Hua Li, Yingmin Hou

Publication date: 16 June 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.08.026

zbMATH Keywords

strong convergence; Euler method; Markov switching; strong approximation; stochastic delay differential equation; MS-stability

Mathematics Subject Classification ID

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

65L20: Stability and convergence of numerical methods for ordinary differential equations

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching, Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching, Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching, Convergence of numerical solutions to stochastic pantograph equations with Markovian switching, Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching, Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation, Convergence of numerical solutions to stochastic age-structured population equations with diffusions and Markovian switching, Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching, Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations, Convergence of numerical solutions to stochastic age-dependent population equations with Markovian switching, Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth, Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching, Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching, Numerical approximation of nonlinear neutral stochastic functional differential equations

Cites Work

• Unnamed Item
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Continuous-time Markov chains. An applications-oriented approach
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Weak discrete time approximation of stochastic differential equations with time delay
• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Stochastic differential delay equations with Markovian switching