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随机微分方程数值解的几乎必然稳定区域

Almost sure stability region of numerical scheme for stochastic differential equations
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摘要 从研究SDE数值解入手,证明了线性标量SDE的Euler-Maruyama方法数值解的几乎必然指数稳定的几个条件,并且找出了Euler-Maruyama方法数值解几乎必然指数稳定区域;通过与Saito和Mitsui研究的Euler-Maruyama方法数值解的均方稳定区域做比较,可以发现得到的几乎必然指数稳定区域更大,因此也是更有价值的. Starting from numerical stability,almost sure exponential stability conditions of the Euler-Maruyama method for linear scalar SDEs are proved, and the stability regions of numerical solution for linear scalar SDEs are identi-ed, By comparing with the mean-square stability regions reported by Saito and Mitsui,the almostsure stability regions in this paper is larger than the corresponding mean-square stability regions,andtherefore they are more valuable.
作者 郭海山 胡良剑
机构地区 东华大学应用数学系
出处 《纺织高校基础科学学报》 CAS 2010年第1期54-58,共5页 Basic Sciences Journal of Textile Universities
关键词 随机微分方程 Euler—Maruyama方法 数值解 几乎必然指数稳定 stochastic differential equations（ SDE） Euler-Maruyama method numerical solutions almostsure exponential stability
分类号 O211.63 [理学—概率论与数理统计]
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参考文献8

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二级参考文献7

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纺织高校基础科学学报
2010年 第1期

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