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arXiv · 1804.07635

The Partially Truncated Euler-Maruyama Method for super-linear Stochastic Delay Differential Equations with variable delay and Markovian switching

Yuhao Cong·Weijun Zhan·Qian Guo
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Abstract

A class of super-linear stochastic delay differential equations (SDDEs) with variable delay and Markovian switching is considered. The main aim of this paper is to develop the partially truncated Euler-Maruyama (EM) method for the super-linear SDDEs with variable delay and Markovian switching, and investigate the convergence and stability properties of the numerical solution under the generalized Khasminskii0type condition.

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Yuhao Cong, Weijun Zhan, Qian Guo. 2018-04-19. The Partially Truncated Euler-Maruyama Method for super-linear Stochastic Delay Differential Equations with variable delay and Markovian switching. https://arxiv.org/abs/1804.07635

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