解系数间断随机微分方程的Heun法

Heun Method for Numerically Solving Stochastic Differential Equations with Discontinuous Coefficients

使用Heun法求解系数间断的随机微分方程,给出了数值计算格式,并讨论了格式的弱收敛性.数值实验表明,与Euler法相比,Heun法求解系数间断的随机微分方程收敛速度更快.

We studied the numerical method for stochastic differential equations with discontinuous coefficients via Heun method. The numerical computational scheme was given to solve such a type of equations. The weak convergence of the method was also discussed. The numerical examples demonstrate that the convergence rate of Heun method was faster than that of Euler method.