Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps
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 exponential integrator. We generalize...
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| Format: | Article |
| Language: | English |
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Wiley
2013-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2013/128625 |
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| _version_ | 1849412767891587072 |
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| author | Yan Li Junhao Hu |
| author_facet | Yan Li Junhao Hu |
| author_sort | Yan Li |
| collection | DOAJ |
| description | 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 exponential integrator. We generalize some results of Bao et al. (2011) and Jacob et al. (2009) in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions. |
| format | Article |
| id | doaj-art-54ec583625af4c7babe00f180340ebc7 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-54ec583625af4c7babe00f180340ebc72025-08-20T03:34:21ZengWileyAbstract and Applied Analysis1085-33751687-04092013-01-01201310.1155/2013/128625128625Numerical Analysis for Stochastic Partial Differential Delay Equations with JumpsYan Li0Junhao Hu1Department of Control Science and Engineering, Huazhong University of Science and Technology, Wuhan 430074, ChinaCollege of Mathematics and Statistics, South-Central University for Nationalities, Wuhan 430074, ChinaWe 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 exponential integrator. We generalize some results of Bao et al. (2011) and Jacob et al. (2009) in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions.http://dx.doi.org/10.1155/2013/128625 |
| spellingShingle | Yan Li Junhao Hu Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps Abstract and Applied Analysis |
| title | Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps |
| title_full | Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps |
| title_fullStr | Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps |
| title_full_unstemmed | Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps |
| title_short | Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps |
| title_sort | numerical analysis for stochastic partial differential delay equations with jumps |
| url | http://dx.doi.org/10.1155/2013/128625 |
| work_keys_str_mv | AT yanli numericalanalysisforstochasticpartialdifferentialdelayequationswithjumps AT junhaohu numericalanalysisforstochasticpartialdifferentialdelayequationswithjumps |