Numerical Solutions of Stochastic Differential Equations Driven by Poisson Random Measure with Non-Lipschitz Coefficients
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-07-10
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
The numerical methods in the current known literature require the stochastic differential equations (SDEs) driven by Poisson random measure satisfying the global Lipschitz condition and the linear growth condition.
In this paper, Euler's method is introduced for SDEs driven by Poisson random measure with non-Lipschitz coefficients which cover more classes of such equations than before.
The main aim is to investigate the convergence of the Euler method in probability to such equations with non-Lipschitz coefficients.
Numerical example is given to demonstrate our results.
American Psychological Association (APA)
Yu, Hui& Song, Minghui. 2012. Numerical Solutions of Stochastic Differential Equations Driven by Poisson Random Measure with Non-Lipschitz Coefficients. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-993540
Modern Language Association (MLA)
Yu, Hui& Song, Minghui. Numerical Solutions of Stochastic Differential Equations Driven by Poisson Random Measure with Non-Lipschitz Coefficients. Journal of Applied Mathematics No. 2012 (2012), pp.1-17.
https://search.emarefa.net/detail/BIM-993540
American Medical Association (AMA)
Yu, Hui& Song, Minghui. Numerical Solutions of Stochastic Differential Equations Driven by Poisson Random Measure with Non-Lipschitz Coefficients. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-993540
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-993540