Stratonovich型随机微分方程的三阶隐式型随机Runge-Kutta算法  

Three-stage Implicit Stochastic Runge-Kutta Method for Stratonovich Stochastic Differential Equation

作　　者：袁玲[1] 汪慧[1] 梁静[1] YUAN Ling;WANG Hui;LIANG Jing(Department of Public Teaching,Anhui Xinhua University,Hefei 230009,China)

机构地区：[1]安徽新华学院通识教育部,安徽合肥230088

出　　处：《西昌学院学报（自然科学版）》2018年第4期51-53,共3页Journal of Xichang University(Natural Science Edition)

基　　金：安徽新华学院校级科研项目(2016zr011);安徽省高校自然科学研究重点项目(KJ2017A623)

摘　　要：构造求解Stratonovich型随机微分方程的强1阶收敛的三阶隐式型Runge-Kutta算法——IMRK算法,证明了该算法与现有算法相比,具有更广的稳定区间和更高的精度。Three-stage implicit stochastic Runge-Kutta method(IMRK method)with strong order for the stochastic differential equation was obtained in this paper.It's been proved that IMRK method has wider range of stability and higher accuracy,comparing to the present method.

关 键 词：随机微分方程 隐式型随机Runge-Kutta算法 彩色树理论 

分 类 号：O211.63[理学—概率论与数理统计]