Journal of Applied Mathematics

Numerical Solutions of Stochastic Differential Equations Driven by Poisson Random Measure with Non-Lipschitz Coefficients

Hui Yu and Minghui Song

Full-text: Open access

Abstract

The numerical methods in the current known literature require the stochastic differential equations (SDEs) driven by Poisson random measure satisfying the global Lipschitz condition and the linear growth condition. In this paper, Euler's method is introduced for SDEs driven by Poisson random measure with non-Lipschitz coefficients which cover more classes of such equations than before. The main aim is to investigate the convergence of the Euler method in probability to such equations with non-Lipschitz coefficients. Numerical example is given to demonstrate our results.

Article information

Source
J. Appl. Math., Volume 2012 (2012), Article ID 675781, 17 pages.

Dates
First available in Project Euclid: 14 December 2012

Permanent link to this document
https://projecteuclid.org/euclid.jam/1355495206

Digital Object Identifier
doi:10.1155/2012/675781

Mathematical Reviews number (MathSciNet)
MR2948138

Zentralblatt MATH identifier
1251.65006

Citation

Yu, Hui; Song, Minghui. Numerical Solutions of Stochastic Differential Equations Driven by Poisson Random Measure with Non-Lipschitz Coefficients. J. Appl. Math. 2012 (2012), Article ID 675781, 17 pages. doi:10.1155/2012/675781. https://projecteuclid.org/euclid.jam/1355495206


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