摘要
截断的Euler-Maruyama方法最初由毛学荣提出,相关论文2015年发表于《J.Comput.Appl.Math》。在此之后,众多论文参考这种截断的思想针对不同种类随机方程的构造多种数值格式。鉴于该类方法近年来的蓬勃发展,我们觉得有必要写一篇综述来总结各位学者在该方向的最新研究成果。与此同时,我们也提出来一些亟待解决的开放问题。
The truncated Euler-Maruyama(EM)method was originally proposed by Mao(2015,J.Comput.Appl.Math.).After that,plenty of works employed the idea to construct numerical approximations to different types of stochastic equations.Due to the bloom of the research in this direction,we give a thorough review of the recent development in this paper,along which we also point out some potential and challenging research.
作者
刘暐
毛学荣
LIU Wei;MAO Xuerong(Department of Mathematics,Shanghai Normal University,Shanghai 200234,China;Department of Mathematics and Statistics,University of Strathclyde,Glasgow,G11XH,UK)
出处
《安徽工程大学学报》
CAS
2020年第1期1-11,95,共11页
Journal of Anhui Polytechnic University
基金
the Natural Science Foundation of China (11701378,11871343, 11971316)
Chenguang Program supported by both Shanghai Education Development Foundation and Shanghai Municipal Education Commission(16CG50)
Shanghai Gaofeng & Gaoyuan Project for University Academic Program Development for their financial support
the Royal Society(WM160014,Royal Society Wolfson Research Merit Award)
the Royal Society and the Newton Fund (NA160317,Royal Society-Newton Advanced Fellowship)
the EPSRC (EP/K503174/1)for their financial support
关键词
随机微分方程
超线性增长系数
截断的方法
显式方法
stochastic different equations
super-linear coefficients
truncated methods
explicit methods
