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线性随机微分延迟方程复合Euler方法的均方收敛性(英文) 被引量：2

Mean square convergence of the composite Euler method for a linear stochastic differential delay equation
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摘要 定义了复合Euler方法,把其应用到线性随机微分延迟方程上.详细地研究了复合Euler方法的均方收敛性,证明其收敛阶是强0.5阶,并给出数值试验. The composite Euler method is defined, and is applied to a linear stochastic differential delay equation. Convergence of the composite Euler method in the mean square sense for a linear stochastic differential delay equation is studied. It is proved that the composite Euler method is convergent with strong order 0. 5. The numerical experiments are given.
作者 周立群
机构地区 哈尔滨工业大学控制工程与科学系
出处 《黑龙江大学自然科学学报》 CAS 北大核心 2006年第3期326-330,335,共6页 Journal of Natural Science of Heilongjiang University
关键词 随机微分延迟方程 复合Euler方法 均方收敛性 数值解 stochastic differential delay equations composite Euler method mean square convergence numerical solution
分类号 O189.1 [理学—基础数学]
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参考文献10

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黑龙江大学自然科学学报
2006年 第3期

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