full
search.png

Search

close.png

Cancel

arrow
Volume 6, Issue 4
Numerical Solutions of Stochastic Differential Delay Equations with Jumps

G. Zhao, M. Song & M. Liu

Int. J. Numer. Anal. Mod., 6 (2009), pp. 659-679.

Published online: 2009-06

Preview Purchase PDF 1069 17539

Cited by

google scholar semantic scholar
Export citation
  • Abstract

In this paper, the semi-implicit Euler (SIE) method for the stochastic differential delay equations with Poisson jump and Markov switching (SDDEwPJMSs) is developed. We show that under global Lipschitz assumptions the numerical method is convergent and SDDEwPJMSs is exponentially stable in mean-square if and only if for some sufficiently small step-size $\Delta$ the SIE method is exponentially stable in mean-square. We then replace the global Lipschitz conditions with local Lipschitz conditions and the assumptions that the exact and numerical solution have a bounded $p$th moment for some $p > 2$ and give the convergence result.

  • Keywords

Poisson jump, Lipschitz condition, semi-implicit Euler method, exponential stability, convergence.

  • AMS Subject Headings

65C30, 65L20, 60H10

  • Copyright

COPYRIGHT: © Global Science Press

  • Email address
  • BibTex
  • RIS
  • TXT
@Article{IJNAM-6-659, author = {}, title = {Numerical Solutions of Stochastic Differential Delay Equations with Jumps}, journal = {International Journal of Numerical Analysis and Modeling}, year = {2009}, volume = {6}, number = {4}, pages = {659--679}, abstract = {

In this paper, the semi-implicit Euler (SIE) method for the stochastic differential delay equations with Poisson jump and Markov switching (SDDEwPJMSs) is developed. We show that under global Lipschitz assumptions the numerical method is convergent and SDDEwPJMSs is exponentially stable in mean-square if and only if for some sufficiently small step-size $\Delta$ the SIE method is exponentially stable in mean-square. We then replace the global Lipschitz conditions with local Lipschitz conditions and the assumptions that the exact and numerical solution have a bounded $p$th moment for some $p > 2$ and give the convergence result.

}, issn = {2617-8710}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/ijnam/790.html} }
TY - JOUR T1 - Numerical Solutions of Stochastic Differential Delay Equations with Jumps JO - International Journal of Numerical Analysis and Modeling VL - 4 SP - 659 EP - 679 PY - 2009 DA - 2009/06 SN - 6 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/ijnam/790.html KW - Poisson jump, Lipschitz condition, semi-implicit Euler method, exponential stability, convergence. AB -

In this paper, the semi-implicit Euler (SIE) method for the stochastic differential delay equations with Poisson jump and Markov switching (SDDEwPJMSs) is developed. We show that under global Lipschitz assumptions the numerical method is convergent and SDDEwPJMSs is exponentially stable in mean-square if and only if for some sufficiently small step-size $\Delta$ the SIE method is exponentially stable in mean-square. We then replace the global Lipschitz conditions with local Lipschitz conditions and the assumptions that the exact and numerical solution have a bounded $p$th moment for some $p > 2$ and give the convergence result.

G. Zhao, M. Song & M. Liu. (1970). Numerical Solutions of Stochastic Differential Delay Equations with Jumps. International Journal of Numerical Analysis and Modeling. 6 (4). 659-679. doi:
Copy to clipboard
BibteX RIS TXT
The citation has been copied to your clipboard