一类具有跳跃扩散的非线性随机偏微分方程的Euler-maruyama方法

IF 0.3 Q4 MATHEMATICS, APPLIED

Journal of the Korean Society for Industrial and Applied Mathematics Pub Date : 2014-03-25 DOI:10.12941/JKSIAM.2014.18.043

H. Ahmed

{"title":"一类具有跳跃扩散的非线性随机偏微分方程的Euler-maruyama方法","authors":"H. Ahmed","doi":"10.12941/JKSIAM.2014.18.043","DOIUrl":null,"url":null,"abstract":"In this paper we discussed Euler-Maruyama method for stochastic differential equations with jump diffusion. We give a convergence result for Euler-Maruyama where the coefficients of the stochastic differential equation are locally Lipschitz and the pth moments of the exact and numerical solution are bounded for some p> 2.","PeriodicalId":41717,"journal":{"name":"Journal of the Korean Society for Industrial and Applied Mathematics","volume":"9 1","pages":"43-50"},"PeriodicalIF":0.3000,"publicationDate":"2014-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION\",\"authors\":\"H. Ahmed\",\"doi\":\"10.12941/JKSIAM.2014.18.043\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper we discussed Euler-Maruyama method for stochastic differential equations with jump diffusion. We give a convergence result for Euler-Maruyama where the coefficients of the stochastic differential equation are locally Lipschitz and the pth moments of the exact and numerical solution are bounded for some p> 2.\",\"PeriodicalId\":41717,\"journal\":{\"name\":\"Journal of the Korean Society for Industrial and Applied Mathematics\",\"volume\":\"9 1\",\"pages\":\"43-50\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2014-03-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of the Korean Society for Industrial and Applied Mathematics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12941/JKSIAM.2014.18.043\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of the Korean Society for Industrial and Applied Mathematics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12941/JKSIAM.2014.18.043","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}

引用次数: 0

摘要

本文讨论了具有跳跃扩散的随机微分方程的Euler-Maruyama方法。我们给出了Euler-Maruyama方程的收敛结果，其中随机微分方程的系数局部为Lipschitz，精确解和数值解的p阶矩在p> 2时有界。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION

In this paper we discussed Euler-Maruyama method for stochastic differential equations with jump diffusion. We give a convergence result for Euler-Maruyama where the coefficients of the stochastic differential equation are locally Lipschitz and the pth moments of the exact and numerical solution are bounded for some p> 2.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of the Korean Society for Industrial and Applied Mathematics MATHEMATICS, APPLIED-

自引率

33.30%

发文量