线性随机微分延迟方程复合Euler方法的均方稳定性(英文)  

GMS-stability of the composite Euler method for a linear stochastic differential delay equation

作　　者：周立群[1] 王薇[1] 

机构地区：[1]哈尔滨工业大学控制工程与科学系,黑龙江哈尔滨150001

出　　处：《黑龙江大学自然科学学报》2007年第2期223-227,共5页Journal of Natural Science of Heilongjiang University

摘　　要：研究了复合Euler方法对线性随机微分延迟方程的全局均方稳定性,给出复合Euler方法全局稳定性的条件并证明在这些条件下复合Euler方法是GMS-稳定的,给出数值算例支持理论分析.The general mean square （GMS） stability of the composite Euler method for a linear stochastic differential delay equation is investigated, Conditions of the general mean square stability of the composite Euler method for a linear stochastic differential delay equation is given, It is shown that the composite Euler method is GMS - stable under these conditions, The numerical examples are presented to support the theoretical analysis.

关 键 词：随机微分延迟方程 复合Euler方法 GMS-稳定性 数值解 

分 类 号：O357[理学—流体力学]