A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching

DOI10.1016/J.MCM.2010.08.016MaRDI QIDQ534838zbMATH OpenOpenAlexFDO

Authors M. Milosevic, Miljana Jovanović

Publication date 10 May 2011

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2010.08.016

zbMATH Keywords

Taylor approximationMarkovian switchingpantograph stochastic differential equations\(L_p\) convergencea.s. convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 195227 (Why is no real title available?)
• An analytic approximate method for solving stochastic integrodifferential equations
• An analytic approximation of solutions of stochastic differential delay equations with Markovian switching
• An analytic approximation of solutions of stochastic differential equations
• An approximate method via Taylor series for stochastic functional differential equations
• Comparison principle and stability criteria for stochastic differential delay equations with Markovian switching
• Continuous \(\Theta\)-methods for the stochastic pantograph equation
• Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
• Convergence of numerical solutions to stochastic pantograph equations with Markovian switching
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• On a Functional Differential Equation
• Stochastic Differential Equations with Markovian Switching
• Stochastic differential delay equations with Markovian switching

Cited in

(17)

• Almost surely exponential stability of numerical solutions for stochastic pantograph equations
• Convergence and almost sure polynomial stability of the backward and forward-backward Euler methods for highly nonlinear pantograph stochastic differential equations
• Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approximation
• Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
• Stability with general decay rate of hybrid neutral stochastic pantograph differential equations driven by Lévy noise
• Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
• A new numerical method to solve pantograph delay differential equations with convergence analysis
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• On the approximations of solutions to stochastic differential equations under polynomial condition
• The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Exponential stability of highly nonlinear neutral pantograph stochastic differential equations
• Stability of highly nonlinear neutral stochastic differential delay equations
• Modified Chebyshev collocation method for pantograph-type differential equations
• A Taylor method for stochastic differential equations with time-dependent delay via the polynomial condition
• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Taylor polynomial method and error estimation for a kind of mixed Volterra-Fredholm integral equations

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