| 具有跳-扩散参数的随机微分方程的数值分析(英文) |
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| 引用本文： | 许新忠,张启敏.具有跳-扩散参数的随机微分方程的数值分析(英文)[J].宁夏大学学报(自然科学版),2009,30(4). |
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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(208160).Supported by Ministry of Education Science and Technique Research |
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| 摘 要： | 介绍了一类具有跳-扩散参数的随机微分方程的数值逼近方法.在弱于线性增长条件和总体Lipschitz条件下,利用Euler数值方法证明了数值解收敛于解析解.
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| 关 键 词： | 数值分析 跳-扩散 随机微分方程 |
Numerical Analysis for Jump-diffusion Stochastic Differential Equations |
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| Xu Xinzhong,Zhang Qimin.Numerical Analysis for Jump-diffusion Stochastic Differential Equations[J].Journal of Ningxia University(Natural Science Edition),2009,30(4). |
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| Authors: | Xu Xinzhong Zhang Qimin |
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| Institution: | Xu Xinzhong; Zhang Qimin(School of Mathematics and Computer Science; Ningxia University; Yinchuan 750021; China); |
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| Abstract: | Euler approximation is introduced for a broad class of jump-diffusion equations in this paper. Applying the Euler scheme, it is proved that numerical solutions converge to the analytic solution under certain conditions, weaker than the linear growth and global Lipschitz conditions. |
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| Keywords: | numerical analysis jump-diffusion stochastic differential equations |
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