Convergence of numerical solutions to stochastic pantograph equations with Markovian switching

In this paper, a class of stochastic pantograph equations with Markovian switching is considered. The main purpose is to investigate the convergence of the Euler method of the equations. It is proved that the Euler approximation solution converge to the analytic solution in probability under weaker...

Full description

Saved in:
Bibliographic Details
Published inApplied mathematics and computation Vol. 215; no. 1; pp. 414 - 422
Main Authors Ronghua, Li, Min, Liu, Wan-kai, Pang
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier Inc 01.09.2009
Elsevier
Subjects
Euler approximation
Exact sciences and technology
Markovian switching
Mathematical analysis
Mathematics
Numerical analysis
Numerical analysis. Scientific computation
Numerical solution
Partial differential equations
Sciences and techniques of general use
Sequences, series, summability
Stochastic pantograph equation
Euler approximation
Stochastic pantograph equation
Numerical solution
Markovian switching
Euler equation
Numerical analysis
Approximation
Applied mathematics
Probability distribution
Euler scheme
Numerical convergence
Stochastic equation
Online AccessGet full text

Cover

More Information
Summary:In this paper, a class of stochastic pantograph equations with Markovian switching is considered. The main purpose is to investigate the convergence of the Euler method of the equations. It is proved that the Euler approximation solution converge to the analytic solution in probability under weaker conditions. An example is provided to illustrate our theory.
ISSN:0096-3003
1873-5649
DOI:10.1016/j.amc.2009.05.013