| 线性随机微分延迟方程复合Euler方法的均方收敛性 |
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| 引用本文： | 周立群. 线性随机微分延迟方程复合Euler方法的均方收敛性[J]. 黑龙江大学自然科学学报, 2006, 23(3): 326-330 |
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| 作者姓名： | 周立群 |
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| 作者单位： | 哈尔滨工业大学,控制工程与科学系,黑龙江,哈尔滨,150001;齐齐哈尔大学,数学系,黑龙江,齐齐哈尔,161006 |
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| 摘 要： | 定义了复合Euler方法,把其应用到线性随机微分延迟方程上.详细地研究了复合Euler方法的均方收敛性,证明其收敛阶是强0.5阶,并给出数值试验.
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| 关 键 词： | 随机微分延迟方程 复合Euler方法 均方收敛性 数值解 |
| 文章编号： | 1001-7011(2006)03-0326-05 |
| 修稿时间： | 2005-01-16 |
Mean square convergence of the composite Euler method for a linear stochastic differential delay equation |
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| ZHOU Li-qun. Mean square convergence of the composite Euler method for a linear stochastic differential delay equation[J]. Journal of Natural Science of Heilongjiang University, 2006, 23(3): 326-330 |
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| Authors: | ZHOU Li-qun |
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| Abstract: | [WT5BZ]The composite Euler method is defined, and is applied to a linear stochastic differential delay equation. Convergence of the composite Euler method in the mean square sense for a linear stochastic differential delay equation is studied. It is proved that the composite Euler method is convergent with strong order 0.5. The numerical experiments are given. |
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| Keywords: | stochastic differential delay equations composite Euler method mean square convergence numerical solution |
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