Approximate solutions of stochastic differential delay equations with Markovian switching

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摘要

Recently, stochastic differential equations with Markovian switching (SDEwMS) have received a great deal of attention. In this paper, the Euler–Maruyama method is developed, one of the most powerful numerical schemes, for the stochastic differential delay equations with Markovian switching (SDDEwMS).

论文关键词：Brownian motion,Euler–Maruyama method,Lipschitz condition,Markov chain generator

论文评审过程：Received 23 September 2003, Revised 7 July 2005, Available online 24 August 2005.

论文官网地址：https://doi.org/10.1016/j.cam.2005.07.004