随机微分方程计算方法及其应用  

COMPUTING METHOD OF STOCHASTIC DIFFERENTIAL EQUATION AND IT'S APPLICATION

作　　者：刘小清[1] 吴声昌[1] 

机构地区：[1]中国科学院数学与系统科学研究院应用数学研究所,北京100080

出　　处：《计算物理》2002年第1期1-7,共7页Chinese Journal of Computational Physics

摘　　要：介绍随机微分方程离散化格式的构造、收敛性法则、强收敛格式、弱收敛格式、带跳跃的随机微分方程的计算方法 ,偏微分方程的概率求解以及它们在物理。Construction of discretization schemes, convergence principle, strongly convergent scheme and weakly convergent scheme for stochastic differential equations as well as computing method of jump stochastic differential equation are presented. Related partial differential equations are solved by probability method. Finally several examples in application are given. [

关 键 词：随机微分方程 随机Taylor展开 数值逼近 收敛法则 计算方法 离散化格式 

分 类 号：O241.8[理学—计算数学]