| 非线性随机微分方程Milstein方法的均方稳定性 |
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| 引用本文： | 王梅真.非线性随机微分方程Milstein方法的均方稳定性[J].佳木斯大学学报,2009,27(5):773-774,776. |
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| 作者姓名： | 王梅真 |
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| 作者单位： | 福州大学数学与计算机科学学院; |
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| 摘 要： | 将Milstein方法应用于一般的非线性随机微分方程,证明了此数值方法是均方稳定的,并给出该方法满足均方稳定性的条件.
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| 关 键 词： | 非线性随机微分方程 均方稳定 Milstein方法 |
Mean-Square Stability of Milstein Method for Nonlinear Stochastic Differential Equations |
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| WANG Mei-zhen.Mean-Square Stability of Milstein Method for Nonlinear Stochastic Differential Equations[J].Journal of Jiamusi University(Natural Science Edition),2009,27(5):773-774,776. |
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| Authors: | WANG Mei-zhen |
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| Institution: | College of Mathematics and Computer Science;Fuzhou University;Fuzhou 350108;China |
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| Abstract: | In this paper,the Milstein method is used to define the numerical solution for nonlinear stochastic differential equations.The main purpose is to show stability of the mean square method and to give the conditions of mean square stable. |
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| Keywords: | nonlinear stochastic differential equation mean-square stability Milstein method |
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