Convergence and stability of numerical solutions to SDDEs with Markovian switching

DOI10.1016/j.amc.2005.08.026zbMath1095.65005OpenAlexW1994718276MaRDI QIDQ2493691

Yingmin Hou, Rong-Hua Li

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 convergenceEuler methodMarkov switchingstrong approximationstochastic delay differential equationMS-stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)

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Cites Work

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• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Continuous-time Markov chains. An applications-oriented approach
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Weak discrete time approximation of stochastic differential equations with time delay
• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Stochastic differential delay equations with Markovian switching