DOI QR코드

DOI QR Code

EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION

  • Ahmed, Hamdy M. (HIGHER INSTITUTE OF ENGINEERING, EL-SHOROUK ACADEMY)
  • 투고 : 2014.01.19
  • 심사 : 2014.02.20
  • 발행 : 2014.03.25

초록

In this paper we discussed Euler-Maruyama method for stochastic differential equations with jump diffusion. We give a convergence result for Euler-Maruyama where the coefficients of the stochastic differential equation are locally Lipschitz and the pth moments of the exact and numerical solution are bounded for some p > 2.

참고문헌

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