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Convergence of the Euler Method of Stochastic Differential Equations with Piecewise Continuous Arguments
Joint Authors
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-12-05
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
The main purpose of this paper is to investigate the strong convergence of the Euler method to stochastic differential equations with piecewise continuous arguments (SEPCAs).
Firstly, it is proved that the Euler approximation solution converges to the analytic solution under local Lipschitz condition and the bounded pth moment condition.
Secondly, the Euler approximation solution converge to the analytic solution is given under local Lipschitz condition and the linear growth condition.
Then an example is provided to show which is satisfied with the monotone condition without the linear growth condition.
Finally, the convergence of numerical solutions to SEPCAs under local Lipschitz condition and the monotone condition is established.
American Psychological Association (APA)
Zhang, Ling& Song, Minghui. 2012. Convergence of the Euler Method of Stochastic Differential Equations with Piecewise Continuous Arguments. Abstract and Applied Analysis،Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-487710
Modern Language Association (MLA)
Zhang, Ling& Song, Minghui. Convergence of the Euler Method of Stochastic Differential Equations with Piecewise Continuous Arguments. Abstract and Applied Analysis No. 2012 (2012), pp.1-16.
https://search.emarefa.net/detail/BIM-487710
American Medical Association (AMA)
Zhang, Ling& Song, Minghui. Convergence of the Euler Method of Stochastic Differential Equations with Piecewise Continuous Arguments. Abstract and Applied Analysis. 2012. Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-487710
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-487710