A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching

The subject of this paper are analytic approximate methods for pantograph stochastic differential equations with Markovian switching, as well as their counterparts without Markovian switching. Approximate equations are defined on equidistant partitions of the time interval, and their coefficients are Taylor approximations of the coefficients of the initial equation. In the case with Markovian switching we will present the approximate method based on Taylor approximation of coefficients in two arguments and show that the appropriate approximate solutions converge in the L p -norm to the solution of the initial equation. Then we will present the other approximate method which deals with Taylor approximation in the first argument. In both cases the closeness between the approximate solution and the solution of the initial equation depends on the number of degrees in Taylor approximations of coefficients, although the presence of the Markov chain affects it. These approximate methods are then adapted to the case without Markovian switching. The first method gives the possibility of proving L p convergence as well as a.s. convergence of the appropriate sequence of approximate solutions to the solution of the initial equation.