| 摘要: |
| 本文研究了一类带Levy跳的中立随机微分方程的Euler近似解。利用Gronwall不等式、Holder不等式及BDG不等式,在局部Lipschitz条件和线性增长下,证明了近似解在均方意义下收敛于真实解,推广了带Possion跳的中立随机微分方程EM逼近的结果。 |
| 关键词: Euler近似解，中立随机微分方程 Levy跳、BDG不等式 |
| DOI： |
| 分类号:O211.62 |
| 基金项目:基于a-VG分布的多元时间序列模型及其在金融建模中的应用,11361022 |
|
| CONVERGENCE OF THE EUMLER-MARUYAMA METHOD FOR NEUTRAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH LEVY JUMPS |
|
Ma Li, Han Xinfang
|
|
Department of Mathematics and statistics,Hainan Normal University,Haikou,571158
|
| Abstract: |
| In this paper, we study the Euler-Maruyama method for Neutral stochastic functional differential equations with Levy jumps. Under locally Lipschitz condition and linear growth condition, we prove the numerical solution converges to the real solution by Gronwall inequality, Holder inequality and BDG inequality. These results generalize the corresponding results for Neutral stochastic functional differential equations with Possion jumps. |
| Key words: EM approximation, neutral stochastic differential equation, Levy jumps, BDG inequality. |
