| 随机微分方程数值解的几乎必然稳定区域 |
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| 引用本文： | 郭海山,胡良剑. 随机微分方程数值解的几乎必然稳定区域[J]. 纺织高校基础科学学报, 2010, 23(1): 54-58 |
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| 作者姓名： | 郭海山 胡良剑 |
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| 作者单位： | 东华大学应用数学系,上海,200051 |
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| 摘 要： | 从研究SDE数值解入手,证明了线性标量SDE的Euler-Maruyama方法数值解的几乎必然指数稳定的几个条件,并且找出了Euler-Maruyama方法数值解几乎必然指数稳定区域;通过与Saito和Mitsui研究的Euler-Maruyama方法数值解的均方稳定区域做比较,可以发现得到的几乎必然指数稳定区域更大,因此也是更有价值的.
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| 关 键 词： | 随机微分方程 Euler—Maruyama方法 数值解 几乎必然指数稳定 |
Almost sure stability region of numerical scheme for stochastic differential equations |
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| GUO Hai-shan,HU Liang-jian. Almost sure stability region of numerical scheme for stochastic differential equations[J]. Basic Sciences Journal of Textile Universities, 2010, 23(1): 54-58 |
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| Authors: | GUO Hai-shan HU Liang-jian |
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| Affiliation: | ( Department of Applied Mathematics, Donghua University, Shanghai 200051, China) |
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| Abstract: | Starting from numerical stability,almost sure exponential stability conditions of the Euler-Maruyama method for linear scalar SDEs are proved, and the stability regions of numerical solution for linear scalar SDEs are identi-ed, By comparing with the mean-square stability regions reported by Saito and Mitsui,the almostsure stability regions in this paper is larger than the corresponding mean-square stability regions,andtherefore they are more valuable. |
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| Keywords: | Euler-Maruyama |
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