کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8901990 | 1631951 | 2018 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
ترجمه فارسی عنوان
همگرایی و پایداری روش تتا تقسیم شده جبران شده برای معادلات دیفرانسیل تصادفی با استدلال مستمر قطعی بر اساس اندازه گیری تصادفی پواسون
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
چکیده انگلیسی
This paper deals with the numerical solutions of stochastic differential equations with piecewise continuous arguments (SDEPCAs) driven by Poisson random measure in which the coefficients are highly nonlinear. It is shown that the compensated split-step theta (CSST) method with θâ[0,1] is strongly convergent in pth(pâ¥2) moment under some polynomially Lipschitz continuous conditions. It is also obtained that the convergence order is close to 1p. In terms of the stability, it is proved that the CSST method with θâ(12,1] reproduces the exponential mean square stability of the underlying system under the monotone condition and some restrictions on the step-size. Without any restriction on the step-size, there exists θââ(12,1] such that the CSST method with θâ(θâ,1] is exponentially stable in mean square. Moreover, if the drift and jump coefficients satisfy the linear growth condition, the CSST method with θâ[0,12] also preserves the exponential mean square stability. Some numerical simulations are presented to verify the conclusions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 340, 1 October 2018, Pages 296-317
Journal: Journal of Computational and Applied Mathematics - Volume 340, 1 October 2018, Pages 296-317
نویسندگان
Yulan Lu, Minghui Song, Mingzhu Liu,