| 线性随机微分延迟方程复合Euler方法的均方稳定性 |
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| 引用本文： | 周立群,王薇. 线性随机微分延迟方程复合Euler方法的均方稳定性[J]. 黑龙江大学自然科学学报, 2007, 24(2): 223-227 |
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| 作者姓名： | 周立群 王薇 |
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| 作者单位： | 哈尔滨工业大学,控制工程与科学系,黑龙江,哈尔滨,150001;哈尔滨工业大学,控制工程与科学系,黑龙江,哈尔滨,150001 |
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| 摘 要： | 研究了复合Euler方法对线性随机微分延迟方程的全局均方稳定性,给出复合Euler方法全局稳定性的条件并证明在这些条件下复合Euler方法是GMS-稳定的,给出数值算例支持理论分析.
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| 关 键 词： | 随机微分延迟方程 复合Euler方法 GMS-稳定性 数值解 |
| 文章编号： | 1001-7011(2007)02-0223-05 |
| 修稿时间： | 2006-05-16 |
GMS- stability of the composite Euler method for a linear stochastic differential delay equation |
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| ZHOU Li-qun,WANG Wei. GMS- stability of the composite Euler method for a linear stochastic differential delay equation[J]. Journal of Natural Science of Heilongjiang University, 2007, 24(2): 223-227 |
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| Authors: | ZHOU Li-qun WANG Wei |
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| Abstract: | The general mean square(GMS) stability of the composite Euler method for a linear stochastic differential delay equation is investigated.Conditions of the general mean square stability of the composite Euler method for a linear stochastic differential delay equation is given.It is shown that the composite Euler method is GMS-stable under these conditions.The numerical examples are presented to support the theoretical analysis. |
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| Keywords: | stochastic differential delay equations composite Euler method GMS-stability numerical solution |
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