Strong predictor-corrector Euler-Maruyama methods for stochastic differential equations with Markovian switching

DOI10.1016/J.CAM.2012.07.001zbMATH Open1259.65006arXiv1103.1103OpenAlexW2023462791MaRDI QIDQ455819FDOQ455819

Authors: Lili Xiao, Jun Ye, Haibo Li 

Publication date: 22 October 2012

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

Abstract: In this paper numerical methods for solving stochastic differential equations with Markovian switching (SDEwMSs) are developed by pathwise approximation. The proposed family of strong predictor-corrector Euler-Maruyama methods is designed to overcome the propagation of errors during the simulation of an approximate path. This paper not only shows the strong convergence of the numerical solution to the exact solution but also reveals the order of the error under some conditions on the coefficient functions. A natural analogue of $p$-stability criterion is studied. Numerical examples are given to illustrate the computational efficiency of the new predictor-corrector Euler-Maruyama approximation.

Full work available at URL: https://arxiv.org/abs/1103.1103

Recommendations

• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Convergence and stability of numerical solutions to SDDEs with Markovian switching
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• Convergence of numerical solutions to stochastic differential equations with Markovian switching

zbMATH Keywords

convergencestabilitystochastic differential equationnumerical exampleMarkovian switchingstrong predictor-corrector Euler-Maruyama methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cited In (6)

• Mode-dependent non-fragile observer-based controller design for fractional-order T-S fuzzy systems with Markovian jump via non-PDC scheme
• MS-stability analysis of predictor-corrector schemes for stochastic differential equations
• Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Strong Predictor-Corrector Approximation for Stochastic Delay Differential Equations

This page was built for publication: Strong predictor-corrector Euler-Maruyama methods for stochastic differential equations with Markovian switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q455819)