ONE LINEAR ANALYTIC APPROXIMATION FOR STOCHASTIC INTEGRODIFFERENTIAL EQUATIONS

doi:10.1016/S0252-9602(10)60104-X

Acta mathematica scientia,Series B ›› 2010, Vol. 30 ›› Issue (4): 1073-1085.doi: 10.1016/S0252-9602(10)60104-X

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ONE LINEAR ANALYTIC APPROXIMATION FOR STOCHASTIC INTEGRODIFFERENTIAL EQUATIONS

Svetlana Jankovic, Dejan Ilic

University of Ni\v s, Department of Mathematics, Vi\v segradska 33, 18000 Ni\v s, Serbia

Received:2007-08-09 Revised:2008-08-13 Online:2010-07-20 Published:2010-07-20
Supported by:
Supported by Grant No. 144003 of MNTRS

Abstract

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 L_p-th norm, uniformly on the time interval. The convergence with probability one is also given.

Key words: Stochastic integrodifferential equation, linear approximation, approximate solution, L_p-convergence,
convergence with probability one

CLC Number:

60H10

Svetlana Jankovic, Dejan Ilic. ONE LINEAR ANALYTIC APPROXIMATION FOR STOCHASTIC INTEGRODIFFERENTIAL EQUATIONS[J].Acta mathematica scientia,Series B, 2010, 30(4): 1073-1085.

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ONE LINEAR ANALYTIC APPROXIMATION FOR STOCHASTIC INTEGRODIFFERENTIAL EQUATIONS

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