Tamed-Euler method for hybrid stochastic differential equations with Markovian switching. (November 2018)

• Record Type: Journal Article
• Authors: Nguyen, Dung T.; Nguyen, Son L.; Hoang, Tuan A.; Yin, George
• Is Part Of: Nonlinear analysis. Volume 30(2018)
• Page Start: 14
• Page End: 30
• Publication Date: 2018-11
• Subjects: Tamed-Euler scheme -- Switching diffusion -- Stochastic differential equation -- Convergence -- Rate of convergence; Nonlinear functional analysis -- Periodicals; Analyse fonctionnelle non linéaire -- Périodiques; Nonlinear functional analysis; Periodicals; 515.7248
• DOI: 10.1016/j.nahs.2018.04.003
• Languages: English
• ISSNs: 1751-570X

Abstract

Abstract: This paper develops a numerical scheme for approximating solutions of stochastic differential equations with Markovian switching under such conditions that allow drift coefficients being locally one-sided Lipschitz continuous, and diffusion coefficients being locally Lipschitz continuous. The strong convergence of the algorithm is proved. In addition, under the assumption of polynomial growth rate of drift and global Lipschitz continuity, the classical rate of convergence is also obtained. Some numerical examples are provided for demonstration purpose.