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

In this paper, we are concerned with the stochastic differential delay equations with Markovian switching (SDDEwMSs). As stochastic differential equations with Markovian switching (SDEwMSs), most SDDEwMSs cannot be solved explicitly. Therefore, numerical solutions, such as EM method, stochastic Thet...

Full description

Saved in:
Bibliographic Details
Published in:Mathematical and computer modelling 2009-11, Vol.50 (9), p.1379-1384
Main Authors: Bao, Jianhai, Hou, Zhenting
Format: Article
Language:English
Subjects:
Exact sciences and technology
Markovian switching
Mathematical analysis
Mathematics
Methods of scientific computing (including symbolic computation, algebraic computation)
Numerical analysis
Numerical analysis. Scientific computation
Numerical methods in probability and statistics
Ordinary differential equations
Sciences and techniques of general use
Sequences, series, summability
Stochastic differential delay equation
Strong convergence
Taylor approximation
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper, we are concerned with the stochastic differential delay equations with Markovian switching (SDDEwMSs). As stochastic differential equations with Markovian switching (SDEwMSs), most SDDEwMSs cannot be solved explicitly. Therefore, numerical solutions, such as EM method, stochastic Theta method, Split-Step Backward Euler method and Caratheodory’s approximations, have become an important issue in the study of SDDEwMSs. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEwMSs in the sense of the L p -norm when the drift and diffusion coefficients are Taylor approximations.
ISSN:0895-7177
1872-9479
DOI:10.1016/j.mcm.2009.07.006