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

DOI10.1016/j.amc.2006.10.058zbMath1128.65010OpenAlexW2077039706MaRDI QIDQ2371996

La-Sheng 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

convergenceMarkov chainMarkovian switchingPoisson jumpEuler-Maruyama schemestochastic differential delay equationslocal Lipschitz conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (12)

Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions ⋮ Existence and uniqueness of solutions to neutral stochastic functional differential equations with Poisson jumps ⋮ 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 ⋮ Stability of stochasticθ-methods for stochastic delay integro-differential equations ⋮ Convergence of jump-diffusion non-linear differential equation with phase semi-Markovian switching ⋮ Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching ⋮ Numerical methods for a class of jump-diffusion systems with random magnitudes ⋮ The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps ⋮ Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching ⋮ Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments

Cites Work

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• Numerical methods for nonlinear stochastic differential equations with jumps
• Convergence and stability of numerical solutions to SDDEs with Markovian switching
• Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Some remarks on the duality of continuous time markov chains

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