Strong convergence of numerical solutions of nonlinear hybrid stochastic delay differential equations

Yan Li,Yi Shen

doi:10.1109/icaci.2012.6463216

Strong convergence of numerical solutions of nonlinear hybrid stochastic delay differential equations

Yan Li, Yi Shen

https://doi.org/10.1109/icaci.2012.6463216

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Publication Date: Oct 1, 2012

Affiliation: Huazhong University of Science and Technology, Huazhong Agricultural University

#Nonlinear Stochastic Delay Differential Equations #Hybrid Stochastic Differential Equations + Show 8 more

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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.

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