Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps

Other literature type, Article English OPEN
Li, Yan; Hu, Junhao;
  • Publisher: Hindawi Publishing Corporation
  • Journal: Abstract and Applied Analysis (issn: 1085-3375, eissn: 1687-0409)
  • Related identifiers: doi: 10.1155/2013/128625
  • Subject: Mathematics | QA1-939 | Article Subject

We investigate the convergence rate of Euler-Maruyama method for a class of stochastic partial differential delay equations driven by both Brownian motion and Poisson point processes. We discretize in space by a Galerkin method and in time by using a stochastic exponent... View more
  • References (18)
    18 references, page 1 of 2

    Da Prato, G., Zabczyk, J.. Stochastic Equations in Infinite Dimensions. 1992; 44

    Liu, K.. Stability of Infinite Dimensional Stochastic Differential Equations with Applications. 2004

    Luo, Q., Deng, F., Bao, J., Zhao, B., Fu, Y.. Stabilization of stochastic Hopfield neural network with distributed parameters. Science in China F. 2004; 47 (6): 752-762

    Luo, Q., Deng, F., Mao, X., Bao, J., Zhang, Y.. Theory and application of stability for stochastic reaction diffusion systems. Science in China F. 2008; 51 (2): 158-170

    Mao, X.. Stochastic Differential Equations and Applications. 2007

    Shen, Y., Wang, J.. An improved algebraic criterion for global exponential stability of recurrent neural networks with time-varying delays. IEEE Transactions on Neural Networks. 2008; 19 (3): 528-531

    Shen, Y., Wang, J.. Almost sure exponential stability of recurrent neural networks with markovian switching. IEEE Transactions on Neural Networks. 2009; 20 (5): 840-855

    Gyöngy, I., Krylov, N.. Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space. SIAM Journal on Mathematical Analysis. 2010; 42 (5): 2275-2296

    Jentzen, A., Kloeden, P. E., Winkel, G.. Efficient simulation of nonlinear parabolic SPDEs with additive noise. The Annals of Applied Probability. 2011; 21 (3): 908-950

    Kloeden, P. E., Lord, G. J., Neuenkirch, A., Shardlow, T.. The exponential integrator scheme for stochastic partial differential equations: pathwise error bounds. Journal of Computational and Applied Mathematics. 2011; 235 (5): 1245-1260

  • Metrics
    No metrics available
Share - Bookmark