Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
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DOI：
10.1016/j.cam.2008.10.013
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发表时间：
2009-07
影响因子：
2.4
通讯作者：
Shaobo Zhou;Fuke Wu
中科院分区：
文献类型：
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作者：
Shaobo Zhou;Fuke Wu
近年来，随机微分方程的数值解受到了广泛的关注。令人惊讶的是，目前还没有建立任何中性随机时滞微分方程的数值方法。本文提出了中性随机时滞微分方程的 Euler-Maruyama 方法。主要目的是证明数值解将在局部 Lipschitz 条件下收敛到真实解。
Recently, numerical solutions of stochastic differential equations have received a great deal of attention. It is surprising that there are not any numerical methods established for neutral stochastic delay differential equations yet. In the paper, the Euler–Maruyama method for neutral stochastic delay differential equations is developed. The key aim is to show that the numerical solutions will converge to the true solutions under the local Lipschitz condition.