Title :
Strong convergence of numerical solutions of nonlinear hybrid stochastic delay differential equations
Author :
Yan Li ; Yi Shen
Author_Institution :
Dept. of Control Sci. & Eng., Huazhong Univ. of Sci. & Technol., Wuhan, China
Abstract :
In this paper, the strong convergence of numerical solutions of nonlinear hybrid stochastic delay differential equations is investigated. The coefficients of nonlinear hybrid stochastic delay differential equations satisfy the monotone conditions motivated by many finance and biology models. The strong convergence results is obtained by using stochastic θ-Euler Maruyama scheme.
Keywords :
convergence of numerical methods; nonlinear differential equations; partial differential equations; stochastic processes; monotone condition satisfaction; nonlinear hybrid stochastic delay differential equation; numerical solution convergence; stochastic θ-Euler Maruyama scheme; Conferences;
Conference_Titel :
Advanced Computational Intelligence (ICACI), 2012 IEEE Fifth International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4673-1743-6
DOI :
10.1109/ICACI.2012.6463216
