Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching

DOI10.1155/2012/305945zbMATH Open1227.60082DBLPjournals/jam/YangJ12OpenAlexW1990114675WikidataQ58906610 ScholiaQ58906610MaRDI QIDQ642808FDOQ642808

Feng Jiang, Hua Yang

Publication date: 27 October 2011

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

Full work available at URL: https://doi.org/10.1155/2012/305945

Recommendations

• An analytic approximation of solutions of stochastic differential delay equations with Markovian switching
• Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
• Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
• Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
• Convergence of numerical solutions to neutral stochastic delay differential equations with Poisson jump and Markovian switching

zbMATH Keywords

Markovian switchingPoisson jumpstochastic differential delay equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50)

Cites Work

• Title not available (Why is that?)
• Stochastic Differential Equations with Markovian Switching
• Numerical methods for nonlinear stochastic differential equations with jumps
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
• Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance
• Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
• An analytic approximation of solutions of stochastic differential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
• An analytic approximation of solutions of stochastic differential delay equations with Markovian switching
• Convergence and stability of numerical solutions to SDDEs with Markovian switching

Cited In (4)

• Geometric analysis of reachability and observability for impulsive systems on complex field
• An analytic approximation of solutions of stochastic differential delay equations with Markovian switching
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching

This page was built for publication: Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q642808)