On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions

被引：16

作者：

Mao, Wei ^{[1
]}

Mao, Xuerong ^{[2
]}

机构：

[1] Jiangsu Second Normal Univ, Sch Math & Informat Technol, Nanjing 210013, Jiangsu, Peoples R China

[2] Univ Strathclyde, Dept Stat & Modelling Sci, Glasgow G1 1XH, Lanark, Scotland

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2014年 / 230卷

关键词：

Strong convergence; Neutral SDEs; Markovian switching; Poisson random measure; Non-Lipschitz conditions; STOCHASTIC DIFFERENTIAL-EQUATIONS; MEAN-SQUARE; NUMERICAL-SOLUTIONS; STABILITY; CONVERGENCE;

D O I：

10.1016/j.amc.2013.12.093

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we investigate the existence and uniqueness of solutions to neutral stochastic differential equations with Markovian switching and jumps (NSDEwMSJs) under non-Lipschitz conditions. On the other hand, we present the Euler approximate solutions for NSDEwMSJs and show that the convergence of the Euler approximate solutions to the true solutions by applying Itbo formula, Bihari's lemma and Burkholder-Davis-Gundy's lemma. Some examples are provided to illustrate the main results. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：104 / 119

页数：16

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