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Levy噪声扰动的混合随机微分方程的Euler近似解 被引量：1

Euler approximated solutions of hybrid stochastic differential equations perturbed by Levy noise
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摘要 研究了Levy过程扰动的Markov状态转换的随机微分方程的Euler近似解,在非Lipschitz条件下,证明了Euler近似解均方意义下收敛于解析解,从而推广了已有的某些结果. The Euler approximated solutions of stochastic differential equations with Markovian switching driven by Levy process are studied.The convergence of the Euler approximated solutions to the analytical solutions in the mean-square sense under non Lipschitz conditions is obtained.Some known results are generalized and improved.
作者 毛伟
机构地区 江苏第二师范学院数学与信息技术学院
出处 《华中师范大学学报（自然科学版）》 CAS 北大核心 2014年第1期1-6,共6页 Journal of Central China Normal University：Natural Sciences
基金 国家自然科学基金项目(11102076 11202085) 江苏省高等学校自然科学研究项目(13KJB110005) 院级重点课题项目(Jsie2011zd04) 江苏省青蓝工程项目(2012) 江苏省政府留学奖学金项目
关键词 随机微分方程 Markov状态转换 Levy跳 Euler近似解 非LIPSCHITZ条件 stochastic differential equations Markovian switching Levy jumps Euler approximated solutions non-Lipschitz conditions
分类号 O241.5 [理学—计算数学]
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参考文献8

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华中师范大学学报（自然科学版）
2014年 第1期

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