带Poisson跳和Markovian调制_省略_型随机延迟微分方程数值解收.pdfVIP

MAT H EM AT ICA APPLICAT A 2010, 23( 1) : 219227 * Convergence of Numerical Solutions to Neutral Stochastic Delay Differential Equation with Poisson Jump and Markovian Switching CEN Liqun( 岑利群) , ZH OU Sha b ( 周少波) ( School of M at hemat ics and St at ist ics, H uaz hong Univ er sity of Sc ie nce and T echnol ogy , W uhan 430074, China) A stract:The main purp se f this paper is t study the c nvergence f numerical s luti ns t a class f neutral st chastic delay differential equati ns w ith P iss n jump and Mark vian swit ching . A numerical appr x imati n scheme is pr p sed t appr ximate the s luti ns t neutral st chastic delay differential equati ns with P iss n jump and Mark vian sw itching. It is pr ved that the Euler appr ximati n s lut i ns c nverge t the analytic s luti ns in t he mean square under weaker c ndi ti ns than the linear gr w th c nditi ns and gl bal Lipschitz c nditi ns. Key words: P iss n jump; EulerM aruy ama meth d; Mark vian sw itching ; L cal Lipschitz c nditi n CLC Num er: O2 11. 63 AMS( 2000)Su ject Classification: 34K50 Document code:A Article ID 2009) 1. Introduction Recently , many auth rs have studied the EulerM aruy ama meth ds f r SDEs, f r ex am [ 1] ple, M a established st chastic delay differential equati ns w ith M ark vian sw itching ( sh rt f r SDDEw MSs) , Ma [ 1] has studied the numerical s luti n f SDDEs and st chastic functi nal differential equati ns ( sh rt f r SFDEs) under l cal Lipschitz c nditi ns. In the present paper w e w ill further resear ch this t pic. Our f cus is n the c nvergence f numeri cal s luti ns t neutr al st chastic delay differential equati ns w ith P iss n jump and M ark vian sw itching( sh rt f r NSDDEw PJM Ss) . T the best f the auth r