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Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching. (English) Zbl 1168.65007

The Euler-Maruyama method for neutral stochastic delay differential equation with Markovian switching is considered.

MSC:

65C30 Numerical solutions to stochastic differential and integral equations
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
34K50 Stochastic functional-differential equations
34K28 Numerical approximation of solutions of functional-differential equations (MSC2010)
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References:

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