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Approximate solutions of stochastic differential delay equations with Markovian switching

Li, Xiaoyue and Mao, X. and Shen, Y. (2010) Approximate solutions of stochastic differential delay equations with Markovian switching. Journal of Difference Equations and Applications, 16 (2-3). pp. 195-207. ISSN 1023-6198

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    Abstract

    Our main aim is to develop the existence theory for the solutions to stochastic dierential delay equations with Markovian switching (SDDEwMSs) and to establish the convergence theory for the Euler{Maruyama approximate solutions under the local Lipschitz condition. As an application, our results are used to discuss a stochastic delay population system with Markovian switching.

    Item type: Article
    ID code: 16869
    Keywords: maruyama method, generalized it^o's formula, brownian motion, markov chain, Mathematics, Algebra and Number Theory, Analysis, Applied Mathematics
    Subjects: Science > Mathematics
    Department: Faculty of Science > Mathematics and Statistics
    Related URLs:
    Depositing user: Mrs Carolynne Westwood
    Date Deposited: 22 Mar 2010 12:19
    Last modified: 27 Mar 2014 11:21
    URI: http://strathprints.strath.ac.uk/id/eprint/16869

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