✦ LIBER ✦

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

✍ Scribed by Jianhai Bao; Zhenting Hou

Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 426 KB
Volume: 50
Category: Article
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2009.07.006

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✦ Synopsis

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.

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