Convergence and stability of numerical solutions to SDDEs with Markovian switching
DOI10.1016/j.amc.2005.08.026zbMath1095.65005OpenAlexW1994718276MaRDI QIDQ2493691
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
strong convergenceEuler methodMarkov switchingstrong approximationstochastic delay differential equationMS-stability
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)
Related Items
Cites Work
- Unnamed Item
- 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