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

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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.