变分数阶随机微分方程的Euler-Maruyama方法  

An Euler-Maruyama Method for Variable-Order Fractional Stochastic Differential Equations

作　　者：王笑涵 袁晗雯 宋雨晨 孙雯 霍振阳 

机构地区：[1]扬州大学数学科学学院,江苏 扬州

出　　处：《应用数学进展》2023年第1期37-45,共9页Advances in Applied Mathematics

摘　　要：本文对一类变分数阶随机微分方程初值问题构造了一个Euler-Maruyama (EM)数值方法,并分析了该EM方法的稳定性和强收敛性。最后,通过两个数值算例来验证了理论分析结果的正确性。This paper constructs an Euler-Maruyama (EM) method for a kind of variable-order fractional sto-chastic differential equations with an initial condition, and analyzes the stability and strong con-vergence of the presented EM method. Finally, two numerical examples are given to verify the cor-rectness of the theoretical results.

关 键 词：变分数阶积分 分数阶随机微分方程 EULER-MARUYAMA方法 误差估计 

分 类 号：O17[理学—数学]