带跳的线性SDE的上Lyapunov指数的逼近
Approximation of Upper Lyapunov Exponents of Linear SDE with Jumps
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摘要: 在假设线性随机微分方程的Lyapunov上指数q存在的条件下,我们将线性随机微分方程离散化,获得了几种逼近线性随机微分方程解的Markov链,并且证明了这些Markov链存在Lyapunov指数qh,当离散化步长h很小时,我们给出了误差|q-qh|阶的理论估计,这是Talay9中相应结果的推广。Abstract: A linear stochastic differential equation with jumps, it is supposed that its Lyapvmov exponent q exists. For the Markov chains which are defined by several approximation schemes, it is obtained the sufficient conditions ensuring the existence of the Lyapunov exponents qh of these schemes; the estimates are given in terms of the discretization step h of the theoretical error|q-qh|, which are extension of the results in Talay 9.