| 非线性随机微分方程的Euler-Maruyama方法均方稳定性 |
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| 引用本文： | 肖宇,张海莹. 非线性随机微分方程的Euler-Maruyama方法均方稳定性[J]. 哈尔滨师范大学自然科学学报, 2007, 23(6): 25-27 |
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| 作者姓名： | 肖宇 张海莹 |
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| 作者单位： | 哈尔滨工业大学;黑龙江八一农垦大学 |
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| 摘 要： | 对随机微分方程的数值方法的讨论已经有了一定的结论,尤其是关于数值方法的收敛性方面的结论,但对于数值方法的收敛性的讨论却很少.将Euler—Maruyama方法应用于非线性随机微分方程,证明了此数值方法是均方稳定的,同时给出了方法满足均方稳定性的条件.
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| 关 键 词： | 随机微分方程 均方稳定 Euler-Maruyama方法 |
| 修稿时间： | 2007-07-02 |
STABILITY OF THE EULER-MARUYAMA METHOD FOR A LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS |
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| Xiao Yu,Zhang Haiying. STABILITY OF THE EULER-MARUYAMA METHOD FOR A LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS[J]. Natural Science Journal of Harbin Normal University, 2007, 23(6): 25-27 |
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| Authors: | Xiao Yu Zhang Haiying |
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| Affiliation: | Xiao Yu (Harbin Institute of Technology) Zhang Haiying (Heilongjiang August Fist Lend Reclamation University) |
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| Abstract: | Many significant conclusions have been made in numerical method for stochastic ordinary differential e- quations,especial above the convergence of numerical schemes recent years.In this paper,the Euler-Ma- ruyama method is used to define the numerical solution for stochastic differential equation.The key aim is to show the method be mean square stable and to give the conditions of mean square stable. |
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| Keywords: | Stochastic differential equation Mean square stability Euler-Maruyoma method |
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