کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4642490 1341345 2007 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Approximations of Euler–Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Approximations of Euler–Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
چکیده انگلیسی

We develop the Euler–Maruyama scheme for a class of stochastic differential equations with Markovian switching (SDEwMSs) under non-Lipschitz conditions  . Both L1L1 and L2L2-convergence are discussed under different non-Lipschitz conditions. To overcome the mathematical difficulties arisen from the Markovian switching as well as the non-Lipschitz coefficients, several new analytical techniques have been developed in this paper which should prove to be very useful in the numerical analysis of stochastic systems.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 205, Issue 2, 15 August 2007, Pages 936–948
نویسندگان
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