带跳的随机比例微分方程的半隐式Euler数值解法

数学季刊 ›› 2011, Vol. 26 ›› Issue (3): 405-409.

带跳的随机比例微分方程的半隐式Euler数值解法

1. School of Mathematics and Information Technology, Jiangsu Institute of Education2. School of Science, Jiangsu University

收稿日期:2008-09-02 出版日期:2011-09-30 发布日期:2023-04-19
作者简介:MAO Wei(1979-), male, native of Shuyang, Jiangsu, a lecturer of Jiangsu Institute of Education, M.S.D., engages in probability; HAN Xiu-jing(1983-), male, native of Sihong, Jiangsu, a lecturer of Jiangsu University, Ph.D., engages in random dynamic system; CHEN Bo(1980-), male, native of Anqing, Anhui,a lecturer of Jiangsu Institute of Education, M.S.D., engages in mathematical ﬁnance.
基金资助:
Supported by the NSF of the Higher Education Institutions of Jiangsu Province(10KJD110006)； Supported by the grant of Jiangsu Institute of Education(Jsjy2009zd03)； Supported by the Qing Lan Project of Jiangsu Province(2010)；

The Semi-implicit Euler Method for Stochastic Pantograph Equations with Jumps

1. School of Mathematics and Information Technology, Jiangsu Institute of Education2. School of Science, Jiangsu University

Received:2008-09-02 Online:2011-09-30 Published:2023-04-19
About author:MAO Wei(1979-), male, native of Shuyang, Jiangsu, a lecturer of Jiangsu Institute of Education, M.S.D., engages in probability; HAN Xiu-jing(1983-), male, native of Sihong, Jiangsu, a lecturer of Jiangsu University, Ph.D., engages in random dynamic system; CHEN Bo(1980-), male, native of Anqing, Anhui,a lecturer of Jiangsu Institute of Education, M.S.D., engages in mathematical ﬁnance.
Supported by:
Supported by the NSF of the Higher Education Institutions of Jiangsu Province(10KJD110006)； Supported by the grant of Jiangsu Institute of Education(Jsjy2009zd03)； Supported by the Qing Lan Project of Jiangsu Province(2010)；

摘要/Abstract

摘要： In this paper, we present the semi-implicit Euler(SIE) numerical solution for stochastic pantograph equations with jumps and prove that the SIE approximation solution converges to the exact solution in the mean-square sense under the Local Lipschitz condition.

关键词: stochastic pantograph equations, Poisson random measure, semi-implicit Euler method, strong convergence

Abstract: In this paper, we present the semi-implicit Euler(SIE) numerical solution for stochastic pantograph equations with jumps and prove that the SIE approximation solution converges to the exact solution in the mean-square sense under the Local Lipschitz condition.

Key words: stochastic pantograph equations, Poisson random measure, semi-implicit Euler method, strong convergence

中图分类号:

O211.63

毛伟, 韩修静, 陈波. 带跳的随机比例微分方程的半隐式Euler数值解法[J]. 数学季刊, 2011, 26(3): 405-409.

MAO Wei, HAN Xiu-jing, CHEN Bo. The Semi-implicit Euler Method for Stochastic Pantograph Equations with Jumps [J]. Chinese Quarterly Journal of Mathematics, 2011, 26(3): 405-409.

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