非线性随机延迟微分方程半隐式Milstein方法的均方稳定性  

Mean-square stability of semi-implicit Milstein method for nonlinear stochastic delay differential equations

作　　者：王梅真[1] 

机构地区：[1]福州大学数学与计算机科学学院,福建福州350108

出　　处：《商丘师范学院学报》2010年第9期38-41,共4页Journal of Shangqiu Normal University

摘　　要：针对一般的非线性随机延迟微分方程,证明了如果系统本身的理论解满足均方稳定性条件,那么当方程的漂移项和扩散项满足一定的条件时,半稳式Milstein方法也是均方稳定的.This paper investigated the mean-square stability of semi-implicit Milstein method for nonlinear stochastic delay differential equations.When the analytical solution satisfies the conditions of mean-square stability,then the semi-implicit Milstein method is mean-square stable if the drift term and the diffusion term satisfy some restrictions.

关 键 词：非线性随机延迟微分方程 半隐式Milstein方法 均方稳定 

分 类 号：O211.63[理学—概率论与数理统计]