An analytic approximation of solutions of stochastic differential delay equations with Markovian switching.
Jianhai BaoZhenting HouPublished in: Math. Comput. Model. (2009)
Keyphrases
- approximation schemes
- polynomial equations
- boundary value problem
- closed form solutions
- discrete random variables
- point processes
- closed form
- stochastic differential equations
- approximation algorithms
- stage stochastic programs
- optimal solution
- numerical integration
- numerical algorithms
- feasible solution
- error bounds
- monte carlo
- mathematical model