scholarly journals Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

2021 ◽  
Author(s):  
Shuaibin Gao ◽  
Junhao Hu ◽  
Li Tan ◽  
Chenggui Yuan
Keyword(s):  
Convergence Rate ◽  
Strong Convergence ◽  
Delay Equations ◽  
Poisson Jumps ◽  
Differential Delay ◽  
Differential Delay Equations ◽  
Stochastic Differential Delay Equations ◽  
Strong Convergence Rate

scholarly journals The Truncated Theta-EM Method for Nonlinear and Nonautonomous Hybrid Stochastic Differential Delay Equations with Poisson Jumps

2021 ◽  
Vol 2021 ◽  
pp. 1-17
Author(s):  
Weifeng Wang ◽  
Lei Yan ◽  
Shuaibin Gao ◽  
Junhao Hu
Keyword(s):  
Convergence Rate ◽  
Numerical Solutions ◽  
Delay Equations ◽  
Poisson Jumps ◽  
Differential Delay ◽  
Differential Delay Equations ◽  
Stochastic Differential Delay Equations ◽  
Em Method

In this paper, we study a class of nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps (HSDDEwPJs). The convergence rate of the truncated theta-EM numerical solutions to HSDDEwPJs is investigated under given conditions. An example is shown to support our theory.

scholarly journals Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching

2020 ◽  
Vol 2020 (1) ◽  
Author(s):  
Shuaibin Gao ◽  
Junhao Hu
Keyword(s):  
Numerical Solutions ◽  
Delay Equations ◽  
Markovian Switching ◽  
Type Condition ◽  
Differential Delay ◽  
Almost Sure Exponential Stability ◽  
Differential Delay Equations ◽  
Stochastic Differential Delay Equations ◽  
Highly Nonlinear ◽  
Strong Convergence Rate

AbstractIn this paper, we establish a partially truncated Euler–Maruyama scheme for highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching. We investigate the strong convergence rate and almost sure exponential stability of the numerical solutions under the generalized Khasminskii-type condition.

Optimal control for stochastic differential delay equations with Poisson jumps and applications

2015 ◽  
Vol 23 (1) ◽  
Author(s):  
Jingtao Shi
Keyword(s):  
Optimal Control ◽  
Delay Equations ◽  
Maximum Principles ◽  
Poisson Jumps ◽  
Duality Method ◽  
Differential Delay ◽  
Differential Delay Equations ◽  
Stochastic Differential Delay Equations ◽  
Necessary And Sufficient ◽  
And Control

AbstractThis paper is concerned with the optimal control problem for stochastic differential delay equations with Poisson jumps, in which both state and control delays are involved. We obtain the necessary and sufficient maximum principles for the optimal control by virtue of the duality method and the anticipated backward stochastic differential equations with Poisson jumps. An optimal consumption rate problem is discussed to illustrate the applications of our results.

Sign in / Sign up

Export Citation Format

Share Document