Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching

DOI10.1016/J.AMC.2006.06.112zbMATH Open1120.65003OpenAlexW2020781588WikidataQ115361880 ScholiaQ115361880MaRDI QIDQ879504FDOQ879504

Zhaoguang Chang, Ronghua Li

Publication date: 14 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.amc.2006.06.112

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zbMATH Keywords

convergencenumerical examplesMarkovian switchingPoisson jumpstochastic delay differential equationEuler approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) 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.
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Title not available (Why is that?)
• Convergence of the Euler scheme for a class of stochastic differential equations
• Title not available (Why is that?)
• 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 solutions to stochastic delay differential equations with jumps
• Convergence and stability of numerical solutions to SDDEs with Markovian switching

Cited In (20)

• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching
• Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
• Stability in mean for uncertain delay differential equations based on new Lipschitz conditions
• Stability analysis between the hybrid stochastic delay differential equations with jumps and the Euler-Maruyama method
• Convergence of numerical solutions to stochastic age-structured population equations with diffusions and Markovian switching
• Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
• Convergence rate of numerical solutions for nonlinear stochastic pantograph equations with Markovian switching and jumps
• Existence and uniqueness of solutions to neutral stochastic functional differential equations with Poisson jumps
• Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process
• The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps
• Convergence of numerical solutions to stochastic age-dependent population equations with Markovian switching
• Stability analysis for stochastic Volterra–Levin equations with Poisson jumps: Fixed point approach
• A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
• Compensated stochastic theta methods for stochastic differential delay equations with jumps
• Convergence of jump-diffusion non-linear differential equation with phase semi-Markovian switching
• Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process
• Numerical solutions to neutral stochastic delay differential equations with Poisson jumps under local Lipschitz condition

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