Convergence of numerical solutions to stochastic pantograph equations with Markovian switching

DOI10.1016/j.amc.2009.05.013zbMath1206.65023OpenAlexW2004233811MaRDI QIDQ732504

Wan-Kai Pang, Min Liu, Rong-Hua 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

zbMATH Keywords

convergenceBrownian motionMarkov chainEuler approximationMarkovian switchingstochastic pantograph equation

Mathematics Subject Classification ID

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

Related Items

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

Cites Work

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• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• 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
• Stochastic differential delay equations with Markovian switching
• Exponential stability of numerical solutions to SDDEs with Markovian switching
• Convergence and stability of numerical solutions to SDDEs with Markovian switching
• Sufficient conditions for polynomial asymptotic behaviour of the stochastic pantograph equation