Approximate solutions of stochastic differential delay equations with Markovian switching

Journal of Computational and Applied Mathematics

Volumn 194, Issue 2, 2006, Pages 207-226

  Yuan, Chenggui ^a   Glover, William ^b  

^a SWANSEA UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

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

Indexed keywords

BROWNIAN MOVEMENT; MARKOV PROCESSES; NUMERICAL METHODS; POLYNOMIAL APPROXIMATION; PROBLEM SOLVING; RANDOM PROCESSES;

EULER-MARUYAMA METHOD; LIPSCHITZ CONDITION; MARKOV CHAIN GENERATOR; MARKOVIAN SWITCHING;

DIFFERENTIAL EQUATIONS;

EID: 33646534005     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2005.07.004     Document Type: Article

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