摘要
给出了两种数值求解随机微分方程的半隐式方法:M ilste in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.
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.
出处
《中南民族大学学报（自然科学版）》
CAS
2006年第2期98-100,共3页
Journal of South-Central University for Nationalities：Natural Science Edition
基金
国家自然科学基金资助项目(10431060)
中南民族大学自然科学基金资助项目(YZY05008)
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
