Abstract
Language | English |
---|---|
Pages | 195-207 |
Number of pages | 12 |
Journal | Journal of Difference Equations and Applications |
Volume | 16 |
Issue number | 2-3 |
DOIs | |
Publication status | Published - 24 Feb 2010 |
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Keywords
- maruyama method
- generalized it^o's formula
- brownian motion
- markov chain
Cite this
}
Approximate solutions of stochastic differential delay equations with Markovian switching. / Li, Xiaoyue; Mao, Xuerong; Shen, Yi.
In: Journal of Difference Equations and Applications, Vol. 16, No. 2-3, 24.02.2010, p. 195-207.Research output: Contribution to journal › Article
TY - JOUR
T1 - Approximate solutions of stochastic differential delay equations with Markovian switching
AU - Li, Xiaoyue
AU - Mao, Xuerong
AU - Shen, Yi
PY - 2010/2/24
Y1 - 2010/2/24
N2 - 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.
AB - 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.
KW - maruyama method
KW - generalized it^o's formula
KW - brownian motion
KW - markov chain
UR - http://www.scopus.com/inward/record.url?scp=77951199023&partnerID=8YFLogxK
U2 - 10.1080/10236190802695456
DO - 10.1080/10236190802695456
M3 - Article
VL - 16
SP - 195
EP - 207
JO - Journal of Difference Equations and Applications
T2 - Journal of Difference Equations and Applications
JF - Journal of Difference Equations and Applications
SN - 1023-6198
IS - 2-3
ER -