Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump

被引：18

作者：

Jiang, Feng ^{[1
]}

Shen, Yi ^{[1
]}

Liu, Lei ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Dept Control Sci & Engn, Wuhan 430074, Peoples R China

来源：

COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2011年 / 16卷 / 02期

基金：

高等学校博士学科点专项科研基金; 美国国家科学基金会;

关键词：

Poisson jump; Taylor approximation; Strong convergence; Stochastic differential delay equations; DISCRETE-TIME APPROXIMATION; NUMERICAL-SOLUTIONS; CONVERGENCE; EULER; DIFFUSION; STABILITY;

D O I：

10.1016/j.cnsns.2010.04.032

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we are concerned with the stochastic differential delay equations with Poisson jump (SDDEsPJ). As stochastic differential equations, most SDDEsPJ cannot be solved explicitly. Therefore, numerical solutions have become an important issue in the study of SDDEsPJ. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEsPJ when the drift and diffusion coefficients are Taylor approximations. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：798 / 804

页数：7

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