Mean-square stability of the Euler-Maruyama method for stochastic differential delay equations with jumps

被引：15
|
作者：
Tan, Jianguo [1 ]
Wang, Hongli [1 ]
机构：
[1] Tianjin Univ, Dept Mech, Tianjin 300072, Peoples R China
来源：
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2011年 / 88卷 / 02期
基金：
中国国家自然科学基金;
关键词：
stochastic differential delay equations; Poisson jumps; Euler-Maruyama method; MS-stability; DISCRETE-TIME APPROXIMATION; NUMERICAL-SOLUTIONS; CONVERGENCE;
D O I：
10.1080/00207160903474206
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper deals with the mean-square (MS) stability of the Euler-Maruyama method for stochastic differential delay equations (SDDEs) with jumps. First, the definition of the MS-stability of numerical methods for SDDEs with jumps is established, and then the sufficient condition of the MS-stability of the Euler-Maruyama method for SDDEs with jumps is derived, finally a class scalar test equation is simulated and the numerical experiments verify the results obtained from theory.
引用
收藏
页码：421 / 429
页数：9
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