Convergence and stability of numerical solutions to SDDEs with Markovian switching

DOI10.1016/j.amc.2005.08.026zbMath1095.65005MaRDI QIDQ2493691

Rong-Hua Li, Yingmin Hou

Publication date: 16 June 2006

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

Full work available at URL: https://doi.org/10.1016/j.amc.2005.08.026

zbMATH Keywords

strong convergence; Euler method; Markov switching; strong approximation; stochastic delay differential equation; MS-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

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

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work

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