Exponential stability of numerical solutions to SDDEs with Markovian switching

DOI10.1016/j.amc.2005.05.037zbMath1105.65010MaRDI QIDQ2489369

Qin Chang, Rong-Hua Li, Hongbing Meng

Publication date: 16 May 2006

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

Full work available at URL: https://doi.org/10.1016/j.amc.2005.05.037

zbMATH Keywords

\(M\)-matrix; Markov chain; Euler method; Stochastic delay differential equation; Exponential mean square 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

34K50: Stochastic functional-differential equations

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

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work

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• Introduction to the numerical analysis of stochastic delay differential equations
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• Stochastic differential delay equations with Markovian switching