کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4635954 | 1340717 | 2007 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In general stochastic delay different equations with Poisson jump and Markovian switching do not have explicit solutions. Appropriate numerical approximations, such as the Euler scheme, are therefore a vital tool in exploring their properties. Unfortunately, the numerical methods for stochastic delay differential equations with Poisson jump and Markovian switching (SDDEwPJMSs), have never been studied. In this paper we proved that the Euler approximate solutions will converge to the exact solutions for SDDEwPJMSs under local Lipschitz condition. This result is more general than what they deal with the Markovian switching term or the jump term.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 188, Issue 2, 15 May 2007, Pages 1161–1172
Journal: Applied Mathematics and Computation - Volume 188, Issue 2, 15 May 2007, Pages 1161–1172
نویسندگان
La-sheng Wang, Hong Xue,