Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching

被引：46

作者：

Zhou, Shaobo ^{[1
]}

Wu, Fuke ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Peoples R China

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2009年 / 229卷 / 01期

关键词：

Neutral stochastic delay differential equation; Euler-Maruyama method; Markovian switching; STABILITY;

D O I：

10.1016/j.cam.2008.10.013

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Recently, numerical solutions of stochastic differential equations have received a great deal of attention. It is surprising that there are not any numerical methods established for neutral stochastic delay differential equations yet. In the paper, the Euler-Maruyama method for neutral stochastic delay differential equations is developed. The key aim is to show that the numerical solutions will converge to the true solutions under the local Lipschitz condition. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：85 / 96

页数：12

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