Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching
We are concerned with the stochastic differential delay equations with Poisson jump and Markovian switching (SDDEsPJMSs). Most SDDEsPJMSs cannot be solved explicitly as stochastic differential equations. Therefore, numerical solutions have become an important issue in the study of SDDEsPJMSs. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEsPJMSs when the drift and diffusion coefficients are Taylor approximations.
Permanent link to this document: http://projecteuclid.org/euclid.jam/1331817616
Digital Object Identifier: doi:10.1155/2012/305945
Mathematical Reviews number (MathSciNet): MR2830977
Zentralblatt MATH identifier: 1227.60082