Convergence of numerical solutions to stochastic pantograph equations with Markovian switching

DOI10.1016/J.AMC.2009.05.013zbMATH Open1206.65023OpenAlexW2004233811MaRDI QIDQ732504FDOQ732504

Authors: Min Liu, Wankai Pang, Ronghua Li 

Publication date: 9 October 2009

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

Full work available at URL: https://doi.org/10.1016/j.amc.2009.05.013

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zbMATH Keywords

Markov chainconvergenceBrownian motionMarkovian switchingEuler approximationstochastic pantograph equation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

• Almost sure exponential stability of neutral stochastic differential difference equations
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Continuous \(\Theta\)-methods for the stochastic pantograph equation
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Title not available (Why is that?)
• Stochastic differential delay equations with Markovian switching
• Exponential stability of numerical solutions to SDDEs with Markovian switching
• Sufficient conditions for polynomial asymptotic behaviour of the stochastic pantograph equation
• Convergence and stability of numerical solutions to SDDEs with Markovian switching

Cited In (17)

• The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
• Exponential stability of highly nonlinear neutral pantograph stochastic differential equations
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• Asymptotic stability of neutral stochastic pantograph systems with Markovian switching
• Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations
• A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching
• Pathwise estimation of stochastic differential equations with Unbounded delay and its application to stochastic pantograph equations
• Numerical analysis for stochastic partial pantograph equations
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Convergence rate of numerical solutions for nonlinear stochastic pantograph equations with Markovian switching and jumps
• The global solutions and moment boundedness of stochastic multipantograph equations
• \(p\)th moment exponential stability of highly nonlinear neutral pantograph stochastic differential equations driven by Lévy noise
• Almost surely exponential stability of numerical solutions for stochastic pantograph equations
• Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude
• Robust \(H_\infty\) filter design for Itô stochastic pantograph systems
• Stability with general decay rate of hybrid neutral stochastic pantograph differential equations driven by Lévy noise
• Convergence and stability of the balanced Euler method for stochastic pantograph differential equations with Markovian switching

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