On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions

Mao, Wei and Mao, Xuerong (2014) On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions. Applied Mathematics and Computation, 230. pp. 104-119. ISSN 0096-3003 (https://doi.org/10.1016/j.amc.2013.12.093)

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Abstract

In this paper, we investigate the existence and uniqueness of solutions to neutral stochastic differential equations with Markovian switching and jumps (NSDEwMSJs) under non-Lipschitz conditions. On the other hand, we present the Euler approximate solutions for NSDEwMSJs and show that the convergence of the Euler approximate solutions to the true solutions by applying Itbo formula, Bihari’s lemma and Burkholder-Davis-Gundy’s lemma. Some examples are provided to illustrate the main results.

ORCID iDs

Mao, Wei and Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864;
  • Item type:Article
    ID code:49283
    Dates:
    Date
    Event
    1 March 2014
    Published
    18 January 2014
    Published Online
    Notes:Notice: This is the author’s version of a work that was accepted for publication in Applied Mathematics and Computation. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Applied Mathematics and Computation, Vol. 230 (01/03/2014) DOI: 10.1016/j.amc.2013.12.093
    Subjects:Science > Mathematics
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:17 Sep 2014 15:46
    Last modified:11 Nov 2024 10:46
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/49283
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