| 求解随机微分方程几类数值计算格式的分析 |
| |
| 引用本文： | 傅味,宫成春.求解随机微分方程几类数值计算格式的分析[J].吉林大学学报(理学版),2010,48(2):163-169. |
| |
| 作者姓名： | 傅味 宫成春 |
| |
| 作者单位： | 吉林大学 数学研究所, 长春 130012 |
| |
| 基金项目： | 国家自然科学基金(批准号:10671082;10701039;10801062) |
| |
| 摘 要： | 讨论随机微分方程的几类数值计算格式,构造了求解非线性随机微分方程隐格式的预估校正算法,并利用这些数值算法进行了数值实验,分析比较了各种格式的平均全局误差.数值结果表明,Euler方法和Milstein方法的显格式和半隐格式的计算精度比隐格式高.
|
| 关 键 词： | 随机微分方程 Euler方法 Milstein方法 |
| 收稿时间： | 2009-04-15 |
Analysis of Some Numerical Schemes for Stochastic Differential Equations |
| |
| FU Wei,GONG Cheng-chun.Analysis of Some Numerical Schemes for Stochastic Differential Equations[J].Journal of Jilin University: Sci Ed,2010,48(2):163-169. |
| |
| Authors: | FU Wei GONG Cheng-chun |
| |
| Institution: | Institute of Mathematics, Jilin University, Changchun 130012, China |
| |
| Abstract: | We discussed some numerical schemes for stochastic differential equations,and applied predictorcorrector method to solving implicit scheme for non-linear stochastic differential equations.We also carried out the numerical experiments and analyzed and compared the average global error of each numerical method.The numerical experiments illustrate that the calculating accuracies by means of explicit scheme and half-implicit scheme are higher than that of implicit scheme. |
| |
| Keywords: | stochastic differential equation Euler scheme Milstein scheme |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《吉林大学学报(理学版)》浏览原始摘要信息 |
| 点击此处可从《吉林大学学报(理学版)》下载免费的PDF全文 |
