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一类随机延迟微分代数系统的Euler-Maruyama方法 被引量：1

Euler-Maruyama Methods for a Class of Stochastic Differential Algebraic System with Delay
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摘要 我们主要构造了数值求解一类1指标随机延迟微分代数系统的Euler-Maruyama方法,并且证明用该方法求解此类问题可达到1/2阶均方收敛.最后的数值试验验证了方法的有效性及所获结论的正确性. In this paper,the Euler-Maruyama method for a class of stochastic differential algebraic system of index 1 with delay is presented,and it is proved that the method is convergent with order 1/2 in the mean-square sense.Numerical examples illustrate the convergence and effectiveness of the numerical method.
作者 肖飞雁 张诚坚
机构地区 华中科技大学数学与统计学院 广西师范大学数学科学学院
出处 《应用数学学报》 CSCD 北大核心 2010年第4期590-600,共11页 Acta Mathematicae Applicatae Sinica
基金 国家自然科学基金(10871078) 国家863高技术研究发展计划专项经费(2009AA044501)资助项目
关键词 随机延迟微分代数系统 EULER-MARUYAMA方法 均方相容 均方收敛 stochastic differential algebraic system with delay Euler-Maruyama method mean-square consistency mean-square convergence
分类号 O211.63 [理学—概率论与数理统计] O214.7 [理学—概率论与数理统计]
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参考文献12

  • 1Buckwar E. One-step Approximations for Stochastic Functional Differential Equations. J. Appl. Numer. Math., 2006, 56(5): 667-681.
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应用数学学报
2010年 第4期

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