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

页码：421 / 429

页数：9

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