| 解系数间断随机微分方程的Heun法 |
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| 引用本文： | 陈旭梅,孟品超.解系数间断随机微分方程的Heun法[J].吉林大学学报(理学版),2011,49(2):228-233. |
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| 作者姓名： | 陈旭梅 孟品超 |
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| 作者单位： | 1. 江苏大学 理学院, 江苏 镇江 212013,2. 吉林大学 数学研究所, 长春 130012;3. 长春理工大学 理学院, 长春 130022 |
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| 基金项目： | 国家自然科学基金，江苏省博士后科研资助计划项目，江苏大学高级专业人才科研启动基金 |
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| 摘 要： | 使用Heun法求解系数间断的随机微分方程, 给出了数值计算格式, 并讨论了格式的弱收敛性. 数值实验表明, 与Euler法相比, Heun法求解系数间断的随机微分方程收敛速度更快.
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| 关 键 词： | Heun法 系数间断 随机微分方程 弱收敛 |
| 收稿时间： | 2010-06-08 |
Heun Method for Numerically Solving Stochastic Differential Equations with Discontinuous Coefficients |
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| CHEN Xu-mei,MENG Pin-chao.Heun Method for Numerically Solving Stochastic Differential Equations with Discontinuous Coefficients[J].Journal of Jilin University: Sci Ed,2011,49(2):228-233. |
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| Authors: | CHEN Xu-mei MENG Pin-chao |
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| Institution: | 1. Faculty of Science, Jiangsu University, Zhenjiang 212013, Jiangsu Province, China;2. Institute of Mathematics, Jilin University, Changchun 130012, China;3. School of Science, Changchun University of Science and Technology, Changchun 130022, China |
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| Abstract: | We studied the numerical method for stochastic differential equations with discontinuous coefficients via Heun method. The numerical computational scheme was given to solve such a type of equations. The weak convergence of the method was also discussed. The numerical examples demonstrate that the convergence rate of Heun method was faster than that of Euler method. |
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| Keywords: | Heun method discontinuous coefficient stochastic differential equation weak convergence |
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