基于补偿倒向Euler方法带分数Brown运动的随机固定资产模型数值解的均方散逸性  

Mean-Square Dissipativity of Numerical Solution of Stochastic Capital System with Fractional Brown Motion Based on Compensate Backward Euler

作　　者：郭文娟 张启敏 王月宝[1] 

机构地区：[1]北方民族大学数学与信息科学学院,宁夏银川750021 [2]宁夏大学数学与计算机学院,宁夏银川750021

出　　处：《数学的实践与认识》2017年第17期177-183,共7页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11461053;11661064)

摘　　要：讨论了一类带分数Brown运动随机固定资产模型数值解的均方散逸性.在漂移系数和扩散系数满足单边Lipschitz条件和有界条件下,建立了随机固定资产模型补偿倒向Euler法数值解均方散逸性的判定准则.最后通过数值算例对结论进行了验证.In this paper, we introduce a class of compensate backward Euler methods for stochastic capital system with fractional Brownian motion. Under the one-sided Lipschitz condition on the drift coefficient and the bounded condition on the diffusion coefficients, we obtain the mean-square dissipativity of the compensate backward Euler numerical solution of stochastic capital system with fractional Brownian motion. Finally, an example is given for verifying the algorithm of this paper.

关 键 词：随机固定资产模型 分数Brown运动 倒向Euler法 均方散逸 

分 类 号：O241[理学—计算数学]