Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching

Advances in Difference Equations

article

Gao, Shuaibin¹  Hu, Junhao¹ 

[1] College of Mathematics and Statistics, South-Central University for Nationalities

关键词: Partially truncated Euler–Maruyama method;    Neutral stochastic differential delay equations;    Markovian switching;    Highly nonlinear and nonautonomous equations;   

DOI  :  10.1186/s13662-020-03113-x

学科分类：航空航天科学

来源: SpringerOpen

【 摘 要 】

In this paper, we establish a partially truncated Euler–Maruyama scheme for highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching. We investigate the strong convergence rate and almost sure exponential stability of the numerical solutions under the generalized Khasminskii-type condition.

【 授权许可】

CC BY