| 标量随机延迟微分方程Euler-Maruyama方法的均方稳定性分析 |
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| 引用本文： | 王琦. 标量随机延迟微分方程Euler-Maruyama方法的均方稳定性分析[J]. 广东工业大学学报, 2011, 28(1): 50-53 |
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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,广东,广州,510006 |
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| 基金项目： | 广东省自然科学基金资助项目，广东工业大学青年基金资助项目 |
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| 摘 要： | 在解析解均方稳定的条件下研究带有乘性噪声的标量随机延迟微分方程Euler-Maruyama方法的均方稳定性.证明了当步长满足一定限制时,数值解是均方稳定的.数值算例验证了理论结果的正确性.
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| 关 键 词： | 随机延迟微分方程 Euler-Maruyama方法 均方稳定性 |
Mean-Square Stability Analysis of Euler-Maruyama Method for Scalar Stochastic Delay Differential Equations |
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| Wang Qi. Mean-Square Stability Analysis of Euler-Maruyama Method for Scalar Stochastic Delay Differential Equations[J]. Journal of Guangdong University of Technology, 2011, 28(1): 50-53 |
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| Authors: | Wang Qi |
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| Affiliation: | Wang Qi (Faculty of Applied Mathematics,Guangdong University of Technology,Guangzhou 510006,China) |
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| Abstract: | Mean-square stability of Euler-Maruyama method is studied for scalar stochastic delay differential equations with multiplicative noise under the condition of analytical mean-square stability.It is proven that the numerical solution is mean-square stable when the stepsize satisfies certain restrictions.Numerical examples verify the theoretical results. |
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| Keywords: | stochastic delay differential equations Euler-Maruyama method mean-square stability |
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