Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
Abstract 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 solution...
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Format: | Article |
Language: | English |
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SpringerOpen
2020-12-01
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Series: | Advances in Difference Equations |
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Online Access: | https://doi.org/10.1186/s13662-020-03113-x |
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author | Shuaibin Gao Junhao Hu |
author_facet | Shuaibin Gao Junhao Hu |
author_sort | Shuaibin Gao |
collection | DOAJ |
description | Abstract 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. |
first_indexed | 2024-12-19T06:47:15Z |
format | Article |
id | doaj.art-8647f1f5b68d47679b608726c08c1f0d |
institution | Directory Open Access Journal |
issn | 1687-1847 |
language | English |
last_indexed | 2024-12-19T06:47:15Z |
publishDate | 2020-12-01 |
publisher | SpringerOpen |
record_format | Article |
series | Advances in Difference Equations |
spelling | doaj.art-8647f1f5b68d47679b608726c08c1f0d2022-12-21T20:31:52ZengSpringerOpenAdvances in Difference Equations1687-18472020-12-012020113710.1186/s13662-020-03113-xNumerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switchingShuaibin Gao0Junhao Hu1College of Mathematics and Statistics, South-Central University for NationalitiesCollege of Mathematics and Statistics, South-Central University for NationalitiesAbstract 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.https://doi.org/10.1186/s13662-020-03113-xPartially truncated Euler–Maruyama methodNeutral stochastic differential delay equationsMarkovian switchingHighly nonlinear and nonautonomous equations |
spellingShingle | Shuaibin Gao Junhao Hu Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching Advances in Difference Equations Partially truncated Euler–Maruyama method Neutral stochastic differential delay equations Markovian switching Highly nonlinear and nonautonomous equations |
title | Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching |
title_full | Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching |
title_fullStr | Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching |
title_full_unstemmed | Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching |
title_short | Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching |
title_sort | numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with markovian switching |
topic | Partially truncated Euler–Maruyama method Neutral stochastic differential delay equations Markovian switching Highly nonlinear and nonautonomous equations |
url | https://doi.org/10.1186/s13662-020-03113-x |
work_keys_str_mv | AT shuaibingao numericalmethodofhighlynonlinearandnonautonomousneutralstochasticdifferentialdelayequationswithmarkovianswitching AT junhaohu numericalmethodofhighlynonlinearandnonautonomousneutralstochasticdifferentialdelayequationswithmarkovianswitching |