纺织高校基础科学学报2016，Vol.29Issue(3)：373-384,12.DOI:10.13338/j.issn.1006-8341.2016.03.017
带Poisson跳和Markovian转换的随机时滞泛函微分方程数值解的收敛性
Convergence of numerical solution to stochastic delay functional differential equations with Poisson j ump and Markovian switching
摘要
Abstract
In order to further study the convergence of numerical solution to stochastic delay functional differential equations with Poisson j ump and Markovian switching,a numerical ap-proximation scheme is proposed to approximates the solution of stochastic delay functional dif-ferential equations with Poisson j ump and Markovian switching.It is proved that the Euler ap-proximation solution converges to the analytic solution in probability under weaker conditions, mainly by using the Lyapunov function method and the stochastic analysis theory.The results not only cover many highly non-linear stochastic differential equcetions,but it can also be veri-fied easily than the known results.关键词
泛函随机微分方程/Poisson跳/Markovian转换/Euler数值解Key words
stochastic functional differential equation/Poisson j ump/Markovian switching/Euler approximation分类
数理科学引用本文复制引用
卢俊香,武宇,马梅,杜艳丽..带Poisson跳和Markovian转换的随机时滞泛函微分方程数值解的收敛性[J].纺织高校基础科学学报,2016,29(3):373-384,12.基金项目
This work is supported by the Scientific Research Foundation of the Education Department of Shaanxi Province(14JK1299) （14JK1299）
