Paper Title:
Numerical Method of Hybrid Stochastic Functional Differential Equations with the Local Lipschitz Coefficients
  Abstract

Recently, hybrid stochastic differential equations have received a great deal of attention. It is surprising that there are not any numerical schemes established for the hybrid stochastic functional differential equations. In this paper, the Euler—Maruyama method is developed, and the main aim is to show that the numerical solutions will converge to the true solutions under the local Lipschitz condition. The result obtained generalizes the earlier results.

  Info
Periodical
Edited by
Yanwen Wu
Pages
422-426
DOI
10.4028/www.scientific.net/AMR.267.422
Citation
H. Yang, F. Jiang, J. H. Hu, "Numerical Method of Hybrid Stochastic Functional Differential Equations with the Local Lipschitz Coefficients", Advanced Materials Research, Vol. 267, pp. 422-426, 2011
Online since
June 2011
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