Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching

DOI10.1016/J.AMC.2006.10.058MaRDI QIDQ2371996zbMATH OpenOpenAlexFDO

Authors Lasheng Wang, Hong Xue

Publication date 10 July 2007

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

Full work available at URL https://doi.org/10.1016/j.amc.2006.10.058

zbMATH Keywords

convergenceEuler-Maruyama schemelocal Lipschitz conditionsMarkov chainMarkovian switchingPoisson jumpstochastic differential delay equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Review text

The authors tackle the question of approximating the solutions of such equations as mentioned in the title. A step size is chosen first, and a discrete Markov chain is simulated to account for the Markovian switching. Then an explicit Euler-Maruyama approximation scheme is set out. Strong convergence to the exact solution under local Lipschitz conditions is investigated.

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Cites work

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Cited in

(30)

• Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
• Numerical solutions to neutral stochastic delay differential equations with Poisson jumps under local Lipschitz condition
• Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps
• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Convergence and stability of numerical solutions to SDDEs with Markovian switching
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions
• Convergence of numerical solution to stochastic delay functional differential equations with Poisson jump and Markovian switching
• Stability of stochastic -methods for stochastic delay integro-differential equations
• Convergence of numerical solutions to neutral stochastic delay differential equations with Poisson jump and Markovian switching
• The numerical solutions of stochastic differential equations with variable delay and Markovian switching
• Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process
• Convergence in probability of approximate solutions for neutral stochastic differential delay equations with Poisson jumps and Markovian switching
• Convergence of numerical solutions to stochastic delay differential equations with Markovian swithing under non-Lipschitz conditions
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• Numerical analysis for neutral stochastic differential equations with Poisson jump
• Existence and uniqueness of solutions to neutral stochastic functional differential equations with Poisson jumps
• Convergence of numerical solutions to stochastic delay neutral technical progress and investment systems with Poisson jumps and Markovian switching
• Convergence of approximate solutions to stochastic delay differential equations with Poisson jump
• Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
• Numerical solutions of stochastic differential delay equations with jumps
• Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching
• Stability analysis between the hybrid stochastic delay differential equations with jumps and the Euler-Maruyama method
• Numerical methods for a class of jump-diffusion systems with random magnitudes
• Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
• Convergence of jump-diffusion non-linear differential equation with phase semi-Markovian switching
• An analytic approximation of solutions of stochastic differential delay equations with Markovian switching

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