In this paper,we consider the stochastic differential equations with piecewise continuous arguments(SDEPCAs)in which the drift coefficient satisfies the generalized one-sided Lipschitz condition and the diffusion coef...In this paper,we consider the stochastic differential equations with piecewise continuous arguments(SDEPCAs)in which the drift coefficient satisfies the generalized one-sided Lipschitz condition and the diffusion coefficient satisfies the linear growth condition.Since the delay term t-[t]of SDEPCAs is not continuous and differentiable,the variable substitution method is not suitable.To overcome this dificulty,we adopt new techniques to prove the boundedness of the exact solution and the numerical solution.It is proved that the truncated Euler-Maruyama method is strongly convergent to SDEPCAs in the sense of L'(q≥2).We obtain the convergence order with some additional conditions.An example is presented to illustrate the analytical theory.展开更多
In this paper,we develop the truncated Euler-Maruyama(EM)method for stochastic differential equations with piecewise continuous arguments(SDEPCAs),and consider the strong convergence theory under the local Lipschitz c...In this paper,we develop the truncated Euler-Maruyama(EM)method for stochastic differential equations with piecewise continuous arguments(SDEPCAs),and consider the strong convergence theory under the local Lipschitz condition plus the Khasminskii-type condition.The order of convergence is obtained.Moreover,we show that the truncated EM method can preserve the exponential mean square stability of SDEPCAs.Numerical examples are provided to support our conclusions.展开更多
基金supported by the National Natural Science Foundation of China(Nos.11671113,12071101).
文摘In this paper,we consider the stochastic differential equations with piecewise continuous arguments(SDEPCAs)in which the drift coefficient satisfies the generalized one-sided Lipschitz condition and the diffusion coefficient satisfies the linear growth condition.Since the delay term t-[t]of SDEPCAs is not continuous and differentiable,the variable substitution method is not suitable.To overcome this dificulty,we adopt new techniques to prove the boundedness of the exact solution and the numerical solution.It is proved that the truncated Euler-Maruyama method is strongly convergent to SDEPCAs in the sense of L'(q≥2).We obtain the convergence order with some additional conditions.An example is presented to illustrate the analytical theory.
基金This work is supported by the National Natural Science Foundation of China(No.11671113)the National Postdoctoral Program for Innovative Talents(No.BX20180347).
文摘In this paper,we develop the truncated Euler-Maruyama(EM)method for stochastic differential equations with piecewise continuous arguments(SDEPCAs),and consider the strong convergence theory under the local Lipschitz condition plus the Khasminskii-type condition.The order of convergence is obtained.Moreover,we show that the truncated EM method can preserve the exponential mean square stability of SDEPCAs.Numerical examples are provided to support our conclusions.
