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求解随机微分方程的两种方法的稳定性分析
  • ISSN号：1672-4321
  • 期刊名称：《中南民族大学学报：自然科学版》
  • 时间：0
  • 分类：O175[理学—数学;理学—基础数学]
  • 作者机构：[1]中南财经政法大学信息学院,武汉430074, [2]中南民族大学计算机科学学院,武汉430074
  • 相关基金：国家自然科学基金资助项目（10431060）和中南民族大学自然科学基金资助项目（YZY05008）
作者： 朱霞[1], 阮立志[2]
关键词： 随机微分方程, 均方稳定性, 渐近稳定性, 半隐Milstein法, 半隐无导数法, stochastic differential equations, mean-square stability, asymptotical stability, semi-implicit Milstein methods, semi-lmplicit derivative-free methods
中文摘要：

给出了两种数值求解随机微分方程的半隐式方法：Milstein法和无导数法,两种方法均是一阶强收敛的,具有较高的精度.分析了方法的均方和渐近稳定性,给出了稳定性条件并绘出了方法的稳定域,得到了一般意义下的重要结果.

英文摘要：

The Milstein and derlvative-free methods are provided for solving stochastic differential equations in this thesis, both of them are strong convergent with order one. In investigating their mean-square and asymptotical stability properties, we obtained the corresponding conditions for stability and ploted the stability regions.

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期刊信息
  • 《中南民族大学学报：自然科学版》
  • 北大核心期刊（2014版）
  • 主管单位:国家民族事务委员会
  • 主办单位:中南民族大学
  • 主编：李金林
  • 地址：武汉市武昌民族大道182号
  • 邮编：430074
  • 邮箱：xuebao8@scuec.edu.cn
  • 电话：027-67842094
  • 国际标准刊号：ISSN：1672-4321
  • 国内统一刊号：ISSN：42-1705/N
  • 邮发代号:38-276
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国化学文摘（网络版）,波兰哥白尼索引,中国中国科技核心期刊,中国北大核心期刊（2014版）
  • 被引量:3145