The numerical solutions of stochastic differential equations with variable delay and Markovian switching

zbMATH Open1224.60137MaRDI QIDQ3072797FDOQ3072797

Authors: Lin Hu, Haomin Zhang, Chunrui Zhang 

Publication date: 5 February 2011

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zbMATH Keywords

delaystrong convergenceEuler methodLipschitz conditionMarkovian switching

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (4)

• Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
• Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching

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