应用数学2017，Vol.30Issue(4)：874-881,8.
非李普希兹条件下马尔科夫调制随机延迟微分方程数值解的收敛性
Convergence of Numerical Solutions to Stochastic Delay Differential Equations with Markovian Swithing Under Non-Lipschitz Conditions
摘要
Abstract
The Euler scheme of the stochastic delay differential equations with Markovian switching (SDDEwMS) has been developed under the global Lipschitz (GL)condition.However the GL condition is often not met by systems of interest.In this paper,we prove that under certain conditions,weaker than the GL condition,and the Euler scheme applied to SDDEwMS is convergent with the same order of accuracy as the Euler method under the GL condition.关键词
随机延迟微分方程/马尔科夫调制/欧拉方法/单边李普希兹条件/多项式增长条件Key words
Stochastic delay differential equation/Markovian Switching/Euler method/One-sided Lipschitz condition/Polynomial growth condition分类
数理科学引用本文复制引用
范振成..非李普希兹条件下马尔科夫调制随机延迟微分方程数值解的收敛性[J].应用数学,2017,30(4):874-881,8.基金项目
Supported by the Natural Science Foundation of Fujian Province (2015J01588),the Science Project Municipal University of Fujian Province(JK2014041) （2015J01588）
