随机微分方程Milstein方法的几乎必然及矩指数稳定性  

Almost Sure and Moment Exponential Stability of Milstein Methods for Stochastic Differential Equations

作　　者：张雨馨[1,2] 王鹏[1] 

机构地区：[1]吉林大学数学学院,长春130012 [2]哈尔滨工程大学理学院,哈尔滨150001

出　　处：《吉林大学学报（理学版）》2011年第6期1058-1060,共3页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:11101184)

摘　　要：考虑随机微分方程Milstein方法的几乎必然及矩指数稳定性,给出了当步长趋于零时极限意义下随机微分方程Milstein方法的稳定性,并证明了在一定条件下显式和半隐式Milstein方法都具有这些稳定性.The almost sure and moment exponential stability of the Milstein scheme for stochastic differential equations were studied. We focused our attention on these stability properties in the limit as the timestep tends to zero and we proved that under proper conditions, explicit and semi-implicit Milstein methods maintain these stability properties.

关 键 词：MILSTEIN方法 半隐式Milstein方法 线性增长条件 

分 类 号：O211.63[理学—概率论与数理统计]