随机中性技术进步和投资系统的数值解.pdf

, , , . , . , , Markov . , Euler-Maruyama Euler . , : 1. , Burkholder-Davis-Gundy Gronwall , , . 2., Burkholder-Davis-Gundy , Holder Gronwall , , . 3.Euler-Maruyama , Poisson Markov , Lipschitz Markov . , , Poisson , Markov , I Abstract Stochastic differential equations have more and more applications in asset investments, population system, engineering control, ecology and other sciences. In recent years, many authors pay wide attention to SDEs. In general, the majority of SDEs have no exact solutions, so do the stochastic delay differential equations with Poisson jumps and Markovian switching. Numerical approximations, such as the Euler- Maruyama scheme and semi-implicit Euler method, are therefore vital tools in exploring their solutions and properties. The purpose of this paper is to investigate the convergence of numerical approximation of stochastic neutral technical progress and investment system, the following are the main contents: 1. The paper is proved that the semi-implicit Euler method of stochastic neutral technical progress and investment system is convergent in mean square by means of formula, Burkholder-Davis-Gundy inequality and Gronwall theorem, and give sufficient conditions for the convergence of numerical solu- tions. 2.Applying the semi-implicit Euler method, using Burkholder-Davis-Gundy inequality, Holder in- equality and Gronwall theorem, the convergence of the numerical solutions are discussed. It is proved that the numerical solutions of stochastic neutral technical progress and investment system converge to the analytic solutions of the equations in probability. 3. The convergence of the numerical solutions are discussed by using of Euler-Maruyama scheme, the