Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching
We are concerned with the stochastic differential delay equations with Poisson jump and Markovian switching (SDDEsPJMSs). Most SDDEsPJMSs cannot be solved explicitly as stochastic differential equations. Therefore, numerical solutions have become an important issue in the study of SDDEsPJMSs. The ke...
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| Format: | Article |
| Language: | English |
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Wiley
2012-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2012/305945 |
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| author | Hua Yang Feng Jiang |
| author_facet | Hua Yang Feng Jiang |
| author_sort | Hua Yang |
| collection | DOAJ |
| description | We are concerned with the stochastic differential delay equations with Poisson jump and Markovian switching (SDDEsPJMSs). Most SDDEsPJMSs cannot be solved explicitly as stochastic differential equations. Therefore, numerical solutions have become an important issue in the study of SDDEsPJMSs. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEsPJMSs when the drift and diffusion coefficients are Taylor approximations. |
| format | Article |
| id | doaj-art-17e116d38c23438db2aeec4bad037448 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-17e116d38c23438db2aeec4bad0374482025-02-03T05:54:29ZengWileyJournal of Applied Mathematics1110-757X1687-00422012-01-01201210.1155/2012/305945305945Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian SwitchingHua Yang0Feng Jiang1School of Mathematics and Computer, Wuhan Polytechnic University, Wuhan 430023, ChinaSchool of Statistics and Mathematics, Zhongnan University of Economics and Law, Wuhan 430073, ChinaWe are concerned with the stochastic differential delay equations with Poisson jump and Markovian switching (SDDEsPJMSs). Most SDDEsPJMSs cannot be solved explicitly as stochastic differential equations. Therefore, numerical solutions have become an important issue in the study of SDDEsPJMSs. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEsPJMSs when the drift and diffusion coefficients are Taylor approximations.http://dx.doi.org/10.1155/2012/305945 |
| spellingShingle | Hua Yang Feng Jiang Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching Journal of Applied Mathematics |
| title | Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching |
| title_full | Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching |
| title_fullStr | Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching |
| title_full_unstemmed | Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching |
| title_short | Analytic Approximation of the Solutions of Stochastic Differential Delay Equations with Poisson Jump and Markovian Switching |
| title_sort | analytic approximation of the solutions of stochastic differential delay equations with poisson jump and markovian switching |
| url | http://dx.doi.org/10.1155/2012/305945 |
| work_keys_str_mv | AT huayang analyticapproximationofthesolutionsofstochasticdifferentialdelayequationswithpoissonjumpandmarkovianswitching AT fengjiang analyticapproximationofthesolutionsofstochasticdifferentialdelayequationswithpoissonjumpandmarkovianswitching |