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

Hui Yu and Minghui Song

Journal of Applied Mathematics, 2012, vol. 2012, issue 1

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.

Date: 2012
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https://doi.org/10.1155/2012/675781

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2012:y:2012:i:1:n:675781

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