The Partially Truncated Euler-Maruyama Method for super-linear Stochastic Delay Differential Equations with variable delay and Markovian switching
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Publication:6300593
DOI10.1142/S0219876219500142arXiv1804.07635WikidataQ128503384 ScholiaQ128503384MaRDI QIDQ6300593FDOQ6300593
Authors: Yuhao Cong, Weijun Zhan, Qian Guo 
Publication date: 19 April 2018
Abstract: A class of super-linear stochastic delay differential equations (SDDEs) with variable delay and Markovian switching is considered. The main aim of this paper is to develop the partially truncated Euler-Maruyama (EM) method for the super-linear SDDEs with variable delay and Markovian switching, and investigate the convergence and stability properties of the numerical solution under the generalized Khasminskii0type condition.
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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