非Lipschitz条件下由泊松过程驱动的随机微分方程Euler方法的依概率收敛性  

Convergence of the Euler Method in Probability to Stochastic Differential Equations Driven by Poisson Process under Non-Lipschitz Conditions

作　　者：于辉[1] Yu Hui(Heilongjiang Bayi Agricultural University,Daqing 163319)

机构地区：[1]黑龙江八一农垦大学,大庆163319

出　　处：《黑龙江八一农垦大学学报》2018年第3期125-130,共6页journal of heilongjiang bayi agricultural university

基　　金：黑龙江省哲学社会科学研究规划课题(16TJE01;17TJD213);大庆市科技计划项目(zd-2016-139);黑龙江八一农垦大学学成;引进人才科研启动计划(XDB2014-16)

摘　　要：针对满足非Lipschitz条件的由泊松过程驱动的随机微分方程(SDEs),构造了Euler方法数值格式。证明了Euler方法的依概率收敛性,并给出了数值算例。The Euler method was constructed to stochastic differential equations（ SDEs） with Poisson process under the Non-Lipschitz conditions. The convergence of the Euler method in probability for such SDEs was proved,and the numerical example was given by paper.

关 键 词：随机微分方程 泊松过程 EULER方法 依概率收敛性 

分 类 号：O211.63[理学—概率论与数理统计]