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Numerical Solution of Stocastic Diffrential Delay Equation with Jump

Samimi Ardestani, Mostafa | 2011

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 41986 (02)
  4. University: Sharif University of Technology
  5. Department: Mathematical Sciences
  6. Advisor(s): Zohuri Zangeneh, Bijan
  7. Abstract:
  8. In this article we investigate the strong convergence of the Euler-Maruyama method and stochastic theta method for stochastic differential delay equation with jump .Under a global lipschitts condition we not only prove the strong convergence but also obtain the rate of convergence.We show stronge convergence under a local lipschits condition and linear growth condition.Moreover it is the first time we obtain the rate of strong convergence under a local lipschits condition and a linear growth condition.i.e if the local lipschitsz constants for balls of radius R are supposed to grow not faster than logR
  9. Keywords:
  10. Numerical Solution ; Stochastic Differential Equation ; Delay ; Levy Process

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