| 随机延迟微分方程分裂向后欧拉方法的T-稳定性(英文) |
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| 引用本文： | 王琦. 随机延迟微分方程分裂向后欧拉方法的T-稳定性(英文)[J]. 安徽大学学报(自然科学版), 2012, 0(5): 26-30 |
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| 作者姓名： | 王琦 |
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| 作者单位： | 广东工业大学应用数学学院 |
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| 基金项目： | Supported by National Natural Science Foundation of China(11201084,51008084) |
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| 摘 要： | 研究带有乘性噪声的线性随机延迟微分方程分裂向后欧拉方法的T-稳定性,将带有特定驱动过程的数值方法应用于试验方程,通过对所得到的差分格式的分析,得到分裂向后欧拉方法 T-稳定的充分条件.
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| 关 键 词： | 随机微分方程 延迟微分方程 欧拉方法 T-稳定性 驱动过程 |
T-stability of split-step backward Euler method for stochastic delay differential equations |
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| WANG Qi. T-stability of split-step backward Euler method for stochastic delay differential equations[J]. Journal of Anhui University(Natural Sciences), 2012, 0(5): 26-30 |
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| Authors: | WANG Qi |
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| Affiliation: | WANG Qi(School of Applied Mathematics,Guangdong University of Technology,Guangzhou 510006,China) |
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| Abstract: | T-stability of split-step backward Euler method was studied for linear stochastic delay differential equations with multiplicative noise.By discussing the difference equation,which was the outcome of applying the numerical method with a specified driving process to a test equation,the sufficient conditions of T-stability of the split-step backward Euler method were given. |
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| Keywords: | stochastic differential equations delay differential equations Euler method T-stability driving process |
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