Chinese Quarterly Journal of Mathematics ›› 2011, Vol. 26 ›› Issue (3): 405-409.

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

  

  1. 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);

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

CLC Number: