Convergence of the Euler-Maruyama method for stochastic differential equations with Markovian switching

Mathematics and Computers in Simulation

Volumn 64, Issue 2, 2004, Pages 223-235

  Yuan, Chenggui ^a,b   Mao, Xuerong ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b CENTRAL SOUTH UNIVERSITY   (China)

Author keywords

Brownian motion; Euler Maruyama method; Lipschitz condition; Markov chain generator

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; DIFFERENTIAL EQUATIONS; ELECTRIC POWER SYSTEMS; ERROR ANALYSIS; LINEAR SYSTEMS; RANDOM PROCESSES; THEOREM PROVING; VECTORS;

EULER-MARUYAMA METHOD; HYBRID SYSTEMS; LIPSCHITZ CONDITIONS; MARKOV CHAIN GENERATORS; STOCHASTIC DIFFERENTIAL EQUATION (SDE);

CONVERGENCE OF NUMERICAL METHODS;

EID: 0346339764     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2003.09.001     Document Type: Article

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