Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure

doi:10.1186/1687-1847-2012-214

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	Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
	Song,Minghui 1; Yu,Hui 1,2
	2012-12-13
发表期刊	Advances in Difference Equations
ISSN	1687-1847
卷号	2012 期号:1
摘要	AbstractIn this paper, an implicit compensated Euler method is introduced for stochastic differential equations with Poisson random measure. A convergence theorem is proved to show that the method obtains a strong order 0.5. After exploiting the conditions of exponential mean-square stability of such equations, the implicit compensated Euler method is proved to share the same stability for any step size. Numerical examples indicate the performance of the convergence and stability.
关键词	stochastic differential equations Poisson random measure convergence exponential mean-square stability
DOI	10.1186/1687-1847-2012-214
语种	英语
WOS记录号	BMC:10.1186/1687-1847-2012-214
出版者	Springer International Publishing
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/324
专题	中国科学院数学与系统科学研究院
通讯作者	Song,Minghui
作者单位	1.Harbin Institute of Technology; Department of Mathematics 2.Heilongjiang Bayi Agricultural University; Department of Mathematics
推荐引用方式 GB/T 7714	Song,Minghui,Yu,Hui. Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure[J]. Advances in Difference Equations,2012,2012(1).
APA	Song,Minghui,&Yu,Hui.(2012).Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure.Advances in Difference Equations,2012(1).
MLA	Song,Minghui,et al."Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure".Advances in Difference Equations 2012.1(2012).