具有Markovian调制的随机资本系统数值解的收敛性  

Convergence of Solution for Stochastic Capital System with Markovian Switching

作　　者：郑来运[1] 

机构地区：[1]宁夏大学机械工程学院,银川750021

出　　处：《重庆理工大学学报（自然科学）》2016年第10期156-162,共7页Journal of Chongqing University of Technology：Natural Science

基　　金：宁夏自然科学基金资助项目(NZ14048)

摘　　要：根据Euler数值方法,给出了一类具有Markovian调制的役龄相关随机资本系统的数值解,并应用It?公式、Burkholder-Davis-Gundy不等式和Gronwall引理证明了数值解的收敛性,给出了数值解收敛于解析解的充分条件。The numerical solution of a class of stochastic age-dependent capital system with Markovian switching was given according to the Euler method in time discretization. Utilizing Ito＇s formula,Gronwall lemma and Barkholder-Davis-Gundy inequality, some criteria were obtained for the convergence of the numerical solution.

关 键 词：随机资本系统 Markovian调制 ITO公式 

分 类 号：O231[理学—运筹学与控制论]