Convergence rate of numerical solutions for nonlinear stochastic pantograph equations with Markovian switching and jumps

DOI10.1155/2013/420648MaRDI QIDQ2015529zbMATH OpenOpenAlexWikidataFDO

Authors Zhenyu Lu, Tingya Yang, Yanhan Hu, Junhao Hu

Publication date 23 June 2014

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/420648

zbMATH Keywords

convergence ratesEuler-Maruyama schemestochastic pantograph equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

Summary: The sufficient conditions of existence and uniqueness of the solutions for nonlinear stochastic pantograph equations with Markovian switching and jumps are given. It is proved that the Euler-Maruyama scheme for nonlinear stochastic pantograph equations with Markovian switching and Brownian motion is of convergence with strong order 1/2. For nonlinear stochastic pantograph equations with Markovian switching and pure jumps, it is best to use the mean-square convergence, and the order of mean-square convergence is close to 1/2.

Recommendations

• Convergence of numerical solutions to stochastic pantograph equations with Markovian switching
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations
• Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions

Cites work

• A note on convergence of semi-implicit Euler methods for stochastic pantograph equations
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
• Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
• Convergence of numerical solutions to stochastic pantograph equations with Markovian switching
• Convergence rate of EM scheme for SDDEs
• Convergence rate of numerical solutions to SFDEs with jumps
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Exponential Stabilization of a Class of Stochastic System With Markovian Jump Parameters and Mode-Dependent Mixed Time-Delays
• Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
• [[:Publication:4573032|Robust $Template:\cal H_{\infty}$ Filtering for Markovian Jump Systems With Randomly Occurring Nonlinearities and Sensor Saturation: The Finite-Horizon Case]]
• Stochastic differential equations and applications.
• Stochastic Differential Equations with Markovian Switching
• The th moment stability for the stochastic pantograph equation
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions

Cited in

(5)

• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching
• Convergence rate of numerical solutions to SFDEs with jumps
• Convergence and stability of the balanced Euler method for stochastic pantograph differential equations with Markovian switching
• Convergence of numerical solutions to stochastic pantograph equations with Markovian switching

This page was built for publication: Convergence rate of numerical solutions for nonlinear stochastic pantograph equations with Markovian switching and jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015529)