摘要
给出一个新的求解线性随机时滞微分方程的显式分裂步长Milstein格式.运用ItoTaylor展开式证明该格式相对于已有的求解随机时滞微分方程的分裂步长方法而言具有更好的收敛性.数值实验验证了理论分析的正确性.
A new explicit split-step Milstein method for solving linear Ito stochastic differential equations （SDEs） with a constant time delay is introduced. The Ito-Taylor expansion is employed to prove the strong convergence, which inproves the convergence results of known split-step methods for stochastic delay differential equations （SDDEs）. Numerical experiments confirm the theoretical results.
出处
《应用数学与计算数学学报》
2012年第4期456-464,共9页
Communication on Applied Mathematics and Computation
基金
supported by the National Natural Science Foundation of China(10901106)
the Natural Science Foundation of Shanghai Municipality,China(09ZR1423200)
the Innovation Program of Shanghai Municipal Education Commission(09YZ150)
the E-Institutes of Shanghai Municipal Education Commission(E03004)
the Shanghai Leading Academic Discipline Project(S30405)
