2012•Unpublished venueRequires access
Strong convergence of numerical solutions of nonlinear hybrid stochastic delay differential equations
Yan Li, Yi Shen
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Abstract
In this paper, the strong convergence of numerical solutions of nonlinear hybrid stochastic delay differential equations is investigated. The coefficients of nonlinear hybrid stochastic delay differential equations satisfy the monotone conditions motivated by many finance and biology models. The strong convergence results is obtained by using stochastic θ-Euler Maruyama scheme.