随机延迟微分方程分裂向后欧拉方法的T-稳定性(英文)  

T-stability of split-step backward Euler method for stochastic delay differential equations

作　　者：王琦[1] 

机构地区：[1]广东工业大学应用数学学院,广东广州510006

出　　处：《安徽大学学报（自然科学版）》2012年第5期26-30,共5页Journal of Anhui University(Natural Science Edition)

基　　金：Supported by National Natural Science Foundation of China(11201084,51008084)

摘　　要：研究带有乘性噪声的线性随机延迟微分方程分裂向后欧拉方法的T-稳定性,将带有特定驱动过程的数值方法应用于试验方程,通过对所得到的差分格式的分析,得到分裂向后欧拉方法 T-稳定的充分条件.T-stability of split-step backward Euler method was studied for linear stochastic delay differential equations with multiplicative noise. By discussing the difference equation, which was the outcome of applying the numerical method with a specified driving process to a test equation, the sufficient conditions of T-stability of the split-step backward Euler method were given.

关 键 词：随机微分方程 延迟微分方程 欧拉方法 T-稳定性 驱动过程 

分 类 号：O241.81[理学—计算数学]