论文信息 - Convergence and stability of numerical solutions to SDDEs with Markovian switching

Convergence and stability of numerical solutions to SDDEs with Markovian switching

A class of linear stochastic delay differential equations with Markovian switching is considered. The main aim of this paper is to investigate the convergence and stability of the Euler method of the equations. It is proved that the Euler method is convergent with strong order p = 1/2. The MS-stable properties of the Euler scheme are also studied.

Ronghua Li | Hou Yingmin

[1] Evelyn Buckwar,et al. Introduction to the numerical analysis of stochastic delay differential equations , 2000 .

[2] Mingzhu Liu,et al. Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation , 2004 .

[3] Wanrong Cao,et al. MS-stability of the Euler-Maruyama method for stochastic differential delay equations , 2004, Appl. Math. Comput..

[4] E. Platen,et al. Strong discrete time approximation of stochastic differential equations with time delay , 2000 .

[5] Xuerong Mao,et al. Convergence of the Euler-Maruyama method for stochastic differential equations with Markovian switching , 2004, Math. Comput. Simul..

[6] X. Mao,et al. Stochastic differential delay equations with Markovian switching , 2000 .

[7] X. Mao,et al. Numerical solutions of stochastic differential delay equations under local Lipschitz condition , 2003 .