脉冲随机微分方程Milstein方法的稳定性(英文)

Stability of the Milstein method for the impulsive stochastic differential equation

研究脉冲随机微分方程M ilstein方法的稳定性.通过对数值方法应用到线性方程所得到的差分方程的讨论,给出了M ilstein方法的MS-稳定和GMS-稳定的条件,并给出了一些数值算例.

Stability of the Milstein method for impulsive stochastic differential equations is considered. By studying the difference equation, which is the outcome of applying the numerical method to a linear equation, the conditions under which the method is mean - square stable （ MS - stable） and general mean- square stable （GMS- stable） are determined. And the numerical experiments are given.