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

DOI10.1016/J.MCM.2009.07.006zbMATH Open1185.65009OpenAlexW2038288329MaRDI QIDQ970044FDOQ970044

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

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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)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Stochastic Differential Equations with Markovian Switching
• Stability of stochastic differential equations with Markovian switching
• Stability of a random diffusion with linear drift
• Title not available (Why is that?)
• Stochastic differential delay equations with Markovian switching
• Title not available (Why is that?)
• Robust stability and controllability of stochastic differential delay equations with Markovian switching.
• 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
• An analytic approximation of solutions of stochastic differential equations
• Stability in distribution of stochastic differential delay equations with Markovian switching
• Comparison principle and stability criteria for stochastic differential delay equations with Markovian switching

Cited In (10)

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

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