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带跳随机延迟微分方程半隐式Milstein数值方法的均方稳定性 被引量：1

MS-stability of the Semi-implicit Milstein Method for the Stochastic Differential Delay Equations with Jumps
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摘要 研究带跳随机延迟微分方程半隐式Milstein数值方法的均方稳定性.将半隐式Milstein数值方法应用到补偿泊松过程及维纳过程驱动下的非线性随机延迟微分方程上进行讨论,给出了半隐式Milstein方法MS-稳定的条件. The MS-stability of the semi-implicit Milstein method for stochastic delay differential equations with jumps was studied,the semi-implicit Milstein method for Nonlinear stochastic differential delay equation driven by Wiener processes and Compensated Poisson process was discussed,and the conditions that the semi-implicit Milstein method is MS-stable were obtained.
作者 杨茜
机构地区 西安工程大学理学院
出处 《佳木斯大学学报（自然科学版）》 CAS 2009年第6期948-952,956,共6页 Journal of Jiamusi University：Natural Science Edition
关键词 随机延迟微分方程 补偿泊松过程 半隐式Milstein方法 均方稳定 stochastic differential delay equations compensated poisson process semi-implicit Milstein method MS-stability
分类号 O241.8 [理学—计算数学]
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参考文献7

二级参考文献25

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共引文献9

同被引文献5

  • 1Huang Chengming. Exponential mean square stability of numerical methods for systems of stochastic differential equations [ J ]. J Appl Math Comput, 2012,236:4016 - 4026. 被引量：1
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  • 4Wu F, Mao X, Szpruch L. Almost sure exponential stability of numerical solutions for stochastic delay differential equations[J]. Numer Math, 2010,115:681 -697. 被引量：1
  • 5Tan Jiangguo, Wang Hongli. Mean - square stability of the Euler - Maruyama method for stochastic differential delay equations with jumps [ J ]. International Journal of Computer Mathematics,2011,88 (2) :421 - 429. 被引量：1

引证文献1

佳木斯大学学报（自然科学版）
2009年 第6期

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