The Partially Truncated Euler-Maruyama Method for super-linear Stochastic Delay Differential Equations with variable delay and Markovian switching
Numerical Analysis
2018-10-02 v2
Abstract
A class of super-linear stochastic delay differential equations (SDDEs) with variable delay and Markovian switching is considered. The main aim of this paper is to develop the partially truncated Euler-Maruyama (EM) method for the super-linear SDDEs with variable delay and Markovian switching, and investigate the convergence and stability properties of the numerical solution under the generalized Khasminskii0type condition.
Keywords
Cite
@article{arxiv.1804.07635,
title = {The Partially Truncated Euler-Maruyama Method for super-linear Stochastic Delay Differential Equations with variable delay and Markovian switching},
author = {Yuhao Cong and Weijun Zhan and Qian Guo},
journal= {arXiv preprint arXiv:1804.07635},
year = {2018}
}
Comments
arXiv admin note: text overlap with arXiv:1703.09565 by other authors