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随机微分包含数值解的收敛性(英文)

Convergence of numerical solutions for stochastic differential inclusions
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摘要 讨论在全局Lipschitz条件和线性增长条件下,随机微分包含欧拉方法的数值解的强收敛性。给出在同样条件下随机微分包含解的存在性,以及随机微分包含欧拉方法的数值格式,证明在全局Lipschitz条件和线性增长条件下,随机微分包含欧拉方法的数值解收敛到解析解。数值实例验证了结论的正确性。 The main purpose is to investigate the strong convergence of the Euler method to stochas- tic differential inclusions （SDIs） under global Lipschitz condition and the linear growth condition. It is first shown that SDIs with the initial value have a solution under global Lipschitz condition and the linear growth condition. Then the convergence of numerical solutions to SDIs under the same conditions is established. Finally, an example is provided to illustrate the theory results.
作者 张玲
机构地区 大庆师范学院数学科学学院
出处 《黑龙江大学自然科学学报》 CAS 北大核心 2014年第3期344-350,共7页 Journal of Natural Science of Heilongjiang University
基金 Supported by the Science and Technology Research Projects of Heilongjiang Provincial Education Department(11553003) the Research Fund for the Doctoral Program of Daqing Normal University
关键词 随机微分包含 线性增长条件 全局Lipschitz条件 Hausdroff距离 欧拉方法 stochastic differential inclusion the linear growth condition global Lipschitz condi-tion Hausdorff metric Euler-Maruyama method
分类号 O189.1 [理学—基础数学]
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参考文献19

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二级参考文献14

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共引文献9

黑龙江大学自然科学学报
2014年 第3期

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