Stochastic Approximate Solutions of Stochastic Differential Equations with Random Jump Magnitudes and Non-Lipschitz Coefficients  

作　　者：毛伟 胡良剑 

机构地区：[1]The Bureau of Land and Resources of Chengdu [2]College of Science ,Donghua University

出　　处：《Journal of Donghua University(English Edition)》2015年第4期642-647,共6页东华大学学报（英文版）

基　　金：National Natural Science Foundations of China(Nos.11401261,11471071);Qing Lan Project of Jiangsu Province,China(No.2012);Natural Science Foundation of Higher Education Institutions of Jiangsu Province(No.13KJB110005);the Grant of Jiangsu Second Normal University(No.JSNU-ZY-02);the Jiangsu Government Overseas Study Scholarship,China

摘　　要：A class of stochastic differential equations with random jump magnitudes( SDEwRJMs) is investigated. Under nonLipschitz conditions,the convergence of semi-implicit Euler method for SDEwRJMs is studied. The main purpose is to prove that the semi-implicit Euler solutions converge to the true solutions in the mean-square sense. An example is given for illustration.A class of stochastic differential equations with random jump magnitudes（ SDEwRJMs） is investigated. Under nonLipschitz conditions,the convergence of semi-implicit Euler method for SDEwRJMs is studied. The main purpose is to prove that the semi-implicit Euler solutions converge to the true solutions in the mean-square sense. An example is given for illustration.

关 键 词：stochastic differential equations(SDEs) random jump magnitudes numerical analysis non-Lipschitz coefficients 

分 类 号：O211.63[理学—概率论与数理统计] O241.5[理学—数学]