Our main aim is to develop the existence theory for the solutions to stochastic differential 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.
- maruyama method
- generalized it^o's formula
- brownian motion
- markov chain
Li, X., Mao, X., & Shen, Y. (2010). Approximate solutions of stochastic differential delay equations with Markovian switching. Journal of Difference Equations and Applications, 16(2-3), 195-207. https://doi.org/10.1080/10236190802695456