| 一类随机微分方程向后欧拉解的指数稳定性 |
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| 引用本文： | 兰光强,张翀. 一类随机微分方程向后欧拉解的指数稳定性[J]. 北京化工大学学报(自然科学版), 2015, 42(4): 120 |
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| 作者姓名： | 兰光强 张翀 |
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| 作者单位： | 北京化工大学理学院,北京,100029;北京化工大学理学院,北京,100029 |
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| 基金项目： | 国家自然科学基金;北京市青年英才计划 |
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| 摘 要： | 本文给出随机微分方程向后欧拉逼近解满足指数稳定性的充分条件。通过将线性增长条件改为耗散性条件,改进了已有的结果。此外,构造了一个例子,并通过数值模拟验证了本文的结论。
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| 关 键 词： | 随机微分方程 向后欧拉逼近 均方指数稳定性 几乎处处指数稳定性 |
| 收稿时间： | 2014-12-08 |
Exponential stability of backward Euler approximations to a class of stochastic differential equations |
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| LAN GuangQiang,ZHANG Chong. Exponential stability of backward Euler approximations to a class of stochastic differential equations[J]. Journal of Beijing University of Chemical Technology, 2015, 42(4): 120 |
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| Authors: | LAN GuangQiang ZHANG Chong |
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| Affiliation: | School of Science, Beijing University of Chemical Technology, Beijing 100029, China |
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| Abstract: | We provide some sufficient conditions to ensure the exponential stability of backward Euler approximation solutions of stochastic differential equations. We improve the known results by replacing the linear growth condition with the dissipative condition. Moreover, an example is constructed and numerical simulation is carried out to support our conclusion. |
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