Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian Switching
Stochastic systems with Markovian switching have been used in a variety of application areas, including biology, epidemiology, mechanics, economics, and finance. In this paper, we study the Euler-Maruyama (EM) method for neutral stochastic functional differential equations with Markovian switching....
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| Format: | Article |
| Language: | English |
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Wiley
2012-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2012/675651 |
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| _version_ | 1832548959545982976 |
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| author | Hua Yang Feng Jiang |
| author_facet | Hua Yang Feng Jiang |
| author_sort | Hua Yang |
| collection | DOAJ |
| description | Stochastic systems with Markovian switching have been used in a variety of application areas, including biology, epidemiology, mechanics, economics, and finance. In this paper, we study the Euler-Maruyama (EM) method for neutral stochastic functional differential equations with Markovian switching. The main aim is to show that the numerical solutions will converge to the true solutions. Moreover, we obtain the convergence order of the approximate solutions. |
| format | Article |
| id | doaj-art-879b9f90369649dfb9c83141fd16bcfb |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-879b9f90369649dfb9c83141fd16bcfb2025-02-03T06:12:33ZengWileyJournal of Applied Mathematics1110-757X1687-00422012-01-01201210.1155/2012/675651675651Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian SwitchingHua Yang0Feng Jiang1School of Mathematics and Computer Science, Wuhan Polytechnic University, Wuhan 430023, ChinaSchool of Statistics and Mathematics, Zhongnan University of Economics and Law, Wuhan 430073, ChinaStochastic systems with Markovian switching have been used in a variety of application areas, including biology, epidemiology, mechanics, economics, and finance. In this paper, we study the Euler-Maruyama (EM) method for neutral stochastic functional differential equations with Markovian switching. The main aim is to show that the numerical solutions will converge to the true solutions. Moreover, we obtain the convergence order of the approximate solutions.http://dx.doi.org/10.1155/2012/675651 |
| spellingShingle | Hua Yang Feng Jiang Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian Switching Journal of Applied Mathematics |
| title | Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian Switching |
| title_full | Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian Switching |
| title_fullStr | Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian Switching |
| title_full_unstemmed | Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian Switching |
| title_short | Approximations of Numerical Method for Neutral Stochastic Functional Differential Equations with Markovian Switching |
| title_sort | approximations of numerical method for neutral stochastic functional differential equations with markovian switching |
| url | http://dx.doi.org/10.1155/2012/675651 |
| work_keys_str_mv | AT huayang approximationsofnumericalmethodforneutralstochasticfunctionaldifferentialequationswithmarkovianswitching AT fengjiang approximationsofnumericalmethodforneutralstochasticfunctionaldifferentialequationswithmarkovianswitching |