Tamed-Euler method for hybrid stochastic differential equations with Markovian switching

Nguyen Dung T.; Nguyen Son L.; Hoang Tuan A.; Yin George

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Tamed-Euler method for hybrid stochastic differential equations with Markovian switching

机译：Marvian切换的混合随机微分方程的驯服 - 欧拉方法

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摘要

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. (C) 2018 Elsevier Ltd. All rights reserved.

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来源
《Nonlinear analysis. Hybrid systems: An International Multidisciplinary Journal》 |2018年第2018期|共17页
作者
Nguyen Dung T.; Nguyen Son L.; Hoang Tuan A.; Yin George;
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作者单位

Vietnam Natl Univ Ho Chi Minh City Univ Technol Dept Appl Math Fac Sci Appl Ho Chi Minh City Vietnam;

Univ Puerto Rico Dept Math Rio Piedras Campus San Juan PR 00936 USA;

Wayne State Univ Dept Math Detroit MI 48202 USA;

Wayne State Univ Dept Math Detroit MI 48202 USA;

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原文格式 PDF
正文语种 eng
中图分类计算技术、计算机技术;
关键词
Tamed-Euler scheme; Switching diffusion; Stochastic differential equation; Convergence; Rate of convergence;

机译：驯服的欧拉方案;切换扩散;随机微分方程;收敛;收敛速度;

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机译：Marvian切换的混合随机微分方程的驯服 - 欧拉方法
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Tamed-Euler method for hybrid stochastic differential equations with Markovian switching

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