An analytic approximate method for solving stochastic integrodifferential equations

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:320

Article

Jankovic, Svetlana ; Ilic, Dejan

关键词: stochastic integrodifferential equation;    Taylor approximation;    approximate solution;    L-P -convergence;    convergence with probability one;   

DOI  :  10.1016/j.jmaa.2005.06.092

来源: Elsevier

【 摘 要 】

In this paper we compare the solution of a general stochastic integrodifferential equation of the Ito type, with the solutions of a sequence of appropriate equations of the same type, whose coefficients are Taylor series of the coefficients of the original equation. The approximate solutions are defined on a partition of the time-interval. The rate of the closeness between the original and approximate solutions is measured in the sense of the LP-norm, so that it decreases if the degrees of these Taylor series increase, analogously to real analysis. The convergence with probability one is also proved. (c) 2005 Elsevier Inc. All rights reserved.

【 授权许可】

Free