Algorithmic Analysis of Euler-Maruyama Scheme for Stochastic Differential Delay Equations with Markovian Switching and Poisson Jump, under Non-Lipschitz Condition

Author

Wang, Guoqiang ; Li, Donglong

Author_Institution

Dept. of Inf. & Comput. Sci., Guangxi Univ. of Technol., Liuzhou, China

Volume

6

fYear

2009

fDate

14-16 Aug. 2009

Firstpage

313

Lastpage

317

Abstract

In present paper, we investigate a class of stochastic differential delay equations with Poisson jump and Markovian switching. Constructing discrete approximate solution and continuous approximate solution by means of Euler-Maruyama scheme, we show the numerical solution converges to the true solution of stochastic differential delay equations with Poisson jump and Markovian switching in the sense of L¹-norm under one non-Lipschitz condition.

Keywords

Markov processes; algorithm theory; approximation theory; stochastic processes; Euler Maruyama scheme; Markovian switching; Poisson jump; algorithmic analysis; continuous approximate solution; discrete approximate solution; non Lipschitz condition; numerical solution converges; stochastic differential delay equations; Algorithm design and analysis; Delay; Differential equations; Filtration; Information analysis; Paper technology; Poisson equations; Pricing; Stability; Stochastic processes; Euler-Maruyama; Markovian switching; Poisson jump; non-Lipchitz condition;

fLanguage

English

Publisher

ieee

Conference_Titel

Natural Computation, 2009. ICNC '09. Fifth International Conference on

Conference_Location

Tianjin

Print_ISBN

978-0-7695-3736-8

Type

conf

DOI

10.1109/ICNC.2009.54

Filename

5362877