Approximate solutions of stochastic differential delay equations with Markovian switching

Authors:
Chenggui Yuan;William Glover
Affiliations:
Department of Mathematics, University of Wales Swansea, Swansea, Singleton Park, UK;Department of Engineering, University of Cambridge, Cambridge, UK
Venue:
Journal of Computational and Applied Mathematics
Year:
2006

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Abstract

Recently, stochastic differential equations with Markovian switching (SDEwMS) have received a great deal of attention. In this paper, the Euler-Maruyama method is developed, one of the most powerful numerical schemes, for the stochastic differential delay equations with Markovian switching (SDDEwMS).