An analytic approximation of solutions of stochastic differential delay equations with Markovian switching

DOI10.1016/J.MCM.2009.07.006MaRDI QIDQ970044zbMATHOpenAlexFDO

Authors Jianhai Bao, Zhenting Hou

Publication date 8 May 2010

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2009.07.006

zbMATH Keywords

strong convergenceTaylor approximationMarkovian switchingstochastic differential delay equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 1016795 (Why is no real title available?)
• scientific article; zbMATH DE number 1409853 (Why is no real title available?)
• An analytic approximation of solutions of stochastic differential equations
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• Comparison principle and stability criteria for stochastic differential delay equations with Markovian switching
• Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Robust stability and controllability of stochastic differential delay equations with Markovian switching.
• Stability in distribution of stochastic differential delay equations with Markovian switching
• Stability of a random diffusion with linear drift
• Stability of stochastic differential equations with Markovian switching
• Stochastic Differential Equations with Markovian Switching
• Stochastic differential delay equations with Markovian switching
• Stochastic differential equations. An introduction with applications.

Cited in

(10)

• Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching
• Dynamics of a stochastic Gilpin-Ayala population model with Markovian switching and impulsive perturbations
• A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching
• Taylor approximation of stochastic functional differential equations with the Poisson jump
• Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Dynamics analysis of a stochastic delay Gilpin-Ayala model with Markovian switching
• The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Analytic solution to the generalized delay diffusion equation with uncertain inputs in the random Lebesgue sense
• Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay

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