ONE LINEAR ANALYTIC APPROXIMATION FOR STOCHASTIC INTEGRODIFFERENTIAL EQUATIONS |
| |
Authors: | Svetlana Jankovi Dejan Ili |
| |
Institution: | University of Nis, Department of Mathematics, Vigegradska 33, 18000 Nig, Serbia |
| |
Abstract: | This article concerns the construction of approximate solutions for a general stochastic integrodifferential equation which is not explicitly solvable and whose coefficients functionally depend on Lebesgue integrals and stochastic integrals with respect to martingales. The approximate equations are linear ordinary stochastic differential equations, the solutions of which are defined on sub-intervals of an arbitrary partition of the time interval and connected at successive division points. The closeness of the initial and approximate solutions is measured in the Lp-th norm, uniformly on the time interval. The convergence with probability one is also given. |
| |
Keywords: | Stochastic integrodifferential equation linear approximation approximate solution Lp-convergence convergence with probability one |
本文献已被 CNKI 维普 万方数据 ScienceDirect 等数据库收录! |