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

DOI10.1155/2013/420648zbMATH Open1322.60136OpenAlexW2100985848WikidataQ58916249 ScholiaQ58916249MaRDI QIDQ2015529FDOQ2015529

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)

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

zbMATH Keywords

convergence ratesEuler-Maruyama schemestochastic pantograph equations

Mathematics Subject Classification ID

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

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Cites work

• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• A note on convergence of semi-implicit Euler methods for stochastic pantograph equations
• 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
• Robust ${{\cal H}}_{\infty}$ Filtering for Markovian Jump Systems With Randomly Occurring Nonlinearities and Sensor Saturation: The Finite-Horizon Case
• Stochastic Differential Equations with Markovian Switching
• Stochastic differential equations and applications.
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• The \(\alpha \)th moment stability for the stochastic pantograph equation

Cited in

(5)

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

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