摘要
本文讨论求解刚性随机延迟微分方程的平衡方法.证明了随机延迟微分方程平衡方法的均方收敛阶为1/2.给出了线性随机延迟微分方程平衡方法均方稳定的条件.
This paper investigates the balanced method for solving stiff stochastic delay differential equations. It is proved that the balanced method is mean-square convergent with strong 1 Moreover, we give mean-square stability condition of the balanced method for order ~. linear stochastic delay differential equations.
出处
《计算数学》
CSCD
北大核心
2011年第1期25-36,共12页
Mathematica Numerica Sinica
基金
国家自然科学基金资助项目(编号:10871207)
关键词
随机延迟微分方程
平衡方法
均方收敛性
稳定性
stochastic delay differential equations
balanced method
mean-square convergence
stability