Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps
نویسندگان
چکیده
منابع مشابه
Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps
and Applied Analysis 3 (H3) There exists L 2 > 0 satisfying h(x, y, u) 2 H ≤ L 2 (‖x‖ 2 H + y 2 H ) , (12) for each x, y ∈ H and u ∈ Z. (H4) For ξ ∈ Db F0 0],H), there exists a constantL3 > 0 such that E ( ξ (s) − ξ (t) 2 ) ≤ L 3 |t − s| 2 , t, s ∈ [−τ, 0] . (13) We now describe our Euler-Maruyama scheme for the approximation of (1). For any n ≥ 1, let π n : H → H n = span{...
متن کاملNumerical methods for nonlinear stochastic differential equations with jumps
We present and analyse two implicit methods for Ito stochastic differential equations (SDEs) with Poisson-driven jumps. The first method, SSBE, is a split-step extension of the backward Euler method. The second method, CSSBE, arises from the introduction of a compensated, martingale, form of the Poisson process. We show that both methods are amenable to rigorous analysis when a one-sided Lipsch...
متن کاملStochastic Differential Equations with Jumps
Gradient estimates and a Harnack inequality are established for the semigroup associated to stochastic differential equations driven by Poisson processes. As applications, estimates of the transition probability density, the compactness and ultraboundedness of the semigroup are studied in terms of the corresponding invariant measure.
متن کاملForward-Backward Doubly Stochastic Differential Equations with Random Jumps and Stochastic Partial Differential-Integral Equations
In this paper, we study forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP in short). Both the probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations (SPDIEs in short) and stochastic Hamiltonian systems arising in stochastic optimal control problems with random jum...
متن کاملStochastic differential equations with jumps,
This paper is a survey of uniqueness results for stochastic differential equations with jumps and regularity results for the corresponding harmonic functions. Subject classifications: Primary 60H10; Secondary 60H30, 60J75
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Abstract and Applied Analysis
سال: 2013
ISSN: 1085-3375,1687-0409
DOI: 10.1155/2013/128625