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Journal of Applied Mathematics and Computing

Erschienen in:

01.03.2013 | Computational mathematics

Numerical approximation of nonlinear neutral stochastic functional differential equations

verfasst von: Shaobo Zhou, Zheng Fang

Erschienen in: Journal of Applied Mathematics and Computing | Ausgabe 1-2/2013

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Abstract

The paper investigates numerical approximations for solution of neutral stochastic functional differential equation (NSFDE) with coefficients of the polynomial growth. The main aim is to develop the convergence in probability of Euler-Maruyama approximate solution under highly nonlinear growth conditions. The paper removes the linear growth condition of the existing results replacing by highly nonlinear growth conditions, so the convergence criteria here may cover a wider class of nonlinear systems. Moreover, we also prove the existence-and-uniqueness of the global solutions for NSFDEs with coefficients of the polynomial growth. Finally, two examples is provided to illustrate the main theory.

Vorheriger Artikel On discrete analytic functions: Products, rational functions and reproducing kernels

Nächster Artikel A uniformly convergent hybrid scheme for singularly perturbed system of reaction-diffusion Robin type boundary-value problems

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Titel: Numerical approximation of nonlinear neutral stochastic functional differential equations
verfasst von: Shaobo Zhou
Zheng Fang
Publikationsdatum: 01.03.2013
Verlag: Springer-Verlag
Erschienen in: Journal of Applied Mathematics and Computing / Ausgabe 1-2/2013
Print ISSN: 1598-5865
Elektronische ISSN: 1865-2085
DOI: https://doi.org/10.1007/s12190-012-0605-5

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