| 具有Poisson跳的随机中立型微分方程的数值分析 |
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| 引用本文： | 许新忠,张启敏.具有Poisson跳的随机中立型微分方程的数值分析[J].宁夏大学学报(自然科学版),2009,30(2):116-119. |
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| 作者姓名： | 许新忠 张启敏 |
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| 作者单位： | 宁夏大学,数学计算机学院,宁夏,银川,750021 |
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| 基金项目： | 教育部重点基金资助项目，宁夏自然科学基金资助项目 |
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| 摘 要： | 通常情况下，大多数随机中立型时滞微分方程没有精确解，因此，数值逼近方法成为研究系统特性的主要工具．给出具有Poisson跳的随机中立型微分方程的数值解，应用It6公式，根据Gronwall引理和Doob不等式，证明了具有Poisson跳的随机中立型微分方程的数值解收敛到解析解．
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| 关 键 词： | 随机中立型微分方程 Poisson跳 数值解 |
Numerical Analysis for Neutral Stochastic Differential Equations with Poisson Jump |
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| Xu Xinzhong,Zhang Qimin.Numerical Analysis for Neutral Stochastic Differential Equations with Poisson Jump[J].Journal of Ningxia University(Natural Science Edition),2009,30(2):116-119. |
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| Authors: | Xu Xinzhong Zhang Qimin |
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| Institution: | School of Mathematics and Computer Science;Ningxia University;Yinchuan 750021;China |
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| Abstract: | In general, most of neutral stochastic differential delay equations with Poisson jump do not have explicit solutions, thus numerical approximation schemes are invaluable tools for exploring their properties. The main purpose of this paper is to give a numerical scheme. By using Gronwall lemma and Doob inequality, the convergence of the numerical approximation solution to the true solution is proved for a class of neutral stochastic differential delay equations with Poisson jump based on Ito formula. |
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| Keywords: | neutral stochastic differential equations Poisson jump numerical solutions |
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