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Algorithmic Analysis of Euler-Maruyama Scheme for Stochastic Differential Delay Equations with Markovian Switching and Poisson Jump, under Non-Lipschitz Condition

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2 Author(s)
Guoqiang Wang ; Dept. of Inf. & Comput. Sci., Guangxi Univ. of Technol., Liuzhou, China ; Donglong Li

In present paper, we investigate a class of stochastic differential delay equations with Poisson jump and Markovian switching. Constructing discrete approximate solution and continuous approximate solution by means of Euler-Maruyama scheme, we show the numerical solution converges to the true solution of stochastic differential delay equations with Poisson jump and Markovian switching in the sense of L1-norm under one non-Lipschitz condition.

Published in:

Natural Computation, 2009. ICNC '09. Fifth International Conference on  (Volume:6 )

Date of Conference:

14-16 Aug. 2009