Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching. (17th July 2011)

• Record Type: Journal Article
• Authors: Yang, Hua; Jiang, Feng
• Other Names: Hu Ying U. Academic Editor.
• Is Part Of: Journal of applied mathematics. Volume 2012(2012)
• Publication Date: 2011-07-17
• Subjects: Mathematics -- Periodicals; 519.05
• DOI: 10.1155/2012/305945
• Languages: English
• ISSNs: 1110-757X

Abstract

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.