求解随机微分方程几类数值计算格式的分析  

Analysis of Some Numerical Schemes for Stochastic Differential Equations

作　　者：傅味[1] 宫成春[1] 

机构地区：[1]吉林大学数学研究所,长春130012

出　　处：《吉林大学学报（理学版）》2010年第2期163-168,共6页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:10671082;10701039;10801062)

摘　　要：讨论随机微分方程的几类数值计算格式,构造了求解非线性随机微分方程隐格式的预估校正算法,并利用这些数值算法进行了数值实验,分析比较了各种格式的平均全局误差.数值结果表明,Euler方法和Milstein方法的显格式和半隐格式的计算精度比隐格式高.We discussed some numerical schemes for stochastic differential equations, and applied predictor- corrector method to solving implicit scheme for non-linear stochastic differential equations. We also carried out the numerical experiments and analyzed and compared the average global error of each numerical method. The numerical experiments illustrate that the calculating accuracies by means of explicit scheme and half-implicit scheme are higher than that of implicit scheme.

关 键 词：随机微分方程 EULER方法 MILSTEIN方法 

分 类 号：O241.81[理学—计算数学]