摘要
将Back-Euler方法应用到半线性分段连续型随机微分方程上,研究对给定步长该方程数值解的收敛性和对任意步长数值解的均方稳定性,在处理半线性项的矩阵时,证明的方法主要应用了矩阵范数,从而达到要研究半线性分段连续型随机微分方程数值解的收敛性和稳定性的目的。
Applying the Back-Euler method to semi-linear stochastic differential equations with piecewise continuous arguments, the convergence of numerical solutions of the equation for given step size and sta- bility in mean square of numerical solutions for any step size is studied. Definition of matrix norm is ap- plied to handle with the semi-linear matrix term. Thereby, convergence and stability of semi-linear sto- chastic differential equations with piecewise continuous arguments are studied.
出处
《黑龙江大学自然科学学报》
CAS
北大核心
2015年第2期201-207,共7页
Journal of Natural Science of Heilongjiang University
基金
黑龙江省教育厅科学技术研究项目(12523001)
关键词
分段连续型随机微分方程
Back-Euler方法
收敛性
稳定性
数值解
semi-linear stochastic differential equations with piecewise continuous arguments
Back-Euler method
convergence
stability
numerical solutions
