Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4637308 | Applied Mathematics and Computation | 2006 | 19 Pages |
Abstract
This paper studies a class of stochastic delay differential equations with jumps (SDDEJs). Explicit solutions can hardly be obtained for the SDDEJs. Appropriate numerical approximation schemes such as the Euler scheme are needed to apply SDDEJs in practice or to study their properties. In this paper, it is proved that the Euler approximation solutions converge to the analytic solution for SDDEJs under weaker conditions than the linear growth condition and global Lipschitz condition. An example is given for illustration.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Li Ronghua, Meng Hongbing, Dai Yonghong,