Open Access
Translator Disclaimer
2012 Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching
Hua Yang, Feng Jiang
J. Appl. Math. 2012: 1-14 (2012). DOI: 10.1155/2012/305945

Abstract

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.

Citation

Download Citation

Hua Yang. Feng Jiang. "Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching." J. Appl. Math. 2012 1 - 14, 2012. https://doi.org/10.1155/2012/305945

Information

Published: 2012
First available in Project Euclid: 15 March 2012

zbMATH: 1227.60082
MathSciNet: MR2830977
Digital Object Identifier: 10.1155/2012/305945

Rights: Copyright © 2012 Hindawi

JOURNAL ARTICLE
14 PAGES


SHARE
Vol.2012 • 2012
Back to Top