Title :
Algorithmic Analysis of Euler-Maruyama Scheme for Stochastic Differential Delay Equations with Markovian Switching and Poisson Jump, under Non-Lipschitz Condition
Author :
Wang, Guoqiang ; Li, Donglong
Author_Institution :
Dept. of Inf. & Comput. Sci., Guangxi Univ. of Technol., Liuzhou, China
Abstract :
In present paper, we investigate a class of stochastic differential delay equations with Poisson jump and Markovian switching. Constructing discrete approximate solution and continuous approximate solution by means of Euler-Maruyama scheme, we show the numerical solution converges to the true solution of stochastic differential delay equations with Poisson jump and Markovian switching in the sense of L1-norm under one non-Lipschitz condition.
Keywords :
Markov processes; algorithm theory; approximation theory; stochastic processes; Euler Maruyama scheme; Markovian switching; Poisson jump; algorithmic analysis; continuous approximate solution; discrete approximate solution; non Lipschitz condition; numerical solution converges; stochastic differential delay equations; Algorithm design and analysis; Delay; Differential equations; Filtration; Information analysis; Paper technology; Poisson equations; Pricing; Stability; Stochastic processes; Euler-Maruyama; Markovian switching; Poisson jump; non-Lipchitz condition;
Conference_Titel :
Natural Computation, 2009. ICNC '09. Fifth International Conference on
Conference_Location :
Tianjin
Print_ISBN :
978-0-7695-3736-8
DOI :
10.1109/ICNC.2009.54
