带Markovian跳的随机时滞微分方程EM数值方法的收敛率

J4 ›› 2013, Vol. 48 ›› Issue (3): 84-88.

带Markovian跳的随机时滞微分方程EM数值方法的收敛率

刘军

济宁学院数学系,山东曲阜 273155

收稿日期:2012-03-24 出版日期:2013-03-20 发布日期:2013-03-14
作者简介:刘军(1982- ),男,硕士,研究方向为随机微分方程.Email:sdwslj@163.com
基金资助:
山东省优秀中青年科学家科研奖励基金资助项目(BS2010DX004);济宁学院青年科研基金资助项目(2012QKJ09)

Convergence rate of EM scheme for SDDEs with markovian jump

LIU Jun

Department of Mathematics, Jining University, Qufu 273155, Shandong, China

Received:2012-03-24 Online:2013-03-20 Published:2013-03-14

摘要/Abstract

摘要：

给出了一类带Markovian跳的随机时滞微分方程EulerMaruyama数值方法的收敛率,这类方程对于时滞项可以不满足线性增长条件。结果显示,由于Markovian跳的作用,收敛率与不带跳时完全不同。最后通过例子说明了结论的有效性。

关键词: Markovian跳;时滞微分方程;Euler-Maruyama数值方法;收敛率

Abstract:

The convergence rate of Euler-Maruyama scheme for a class of SDDEs which are highly nonlinear with respect to the delay variables was obtained. It shows that it is quite different from the case without Markovian jump. The example is given to conform the results.

Key words: Markovian jump; SDDE; euler-maruyama scheme; convergence rate

刘军. 带Markovian跳的随机时滞微分方程EM数值方法的收敛率[J]. J4, 2013, 48(3): 84-88.

LIU Jun. Convergence rate of EM scheme for SDDEs with markovian jump[J]. J4, 2013, 48(3): 84-88.

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