期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

ALMOST SURE AND MOMENT EXPONENTIAL STABILITY OF PREDICTOR-CORRECTOR METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS 被引量：4

ALMOST SURE AND MOMENT EXPONENTIAL STABILITY OF PREDICTOR-CORRECTOR METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
原文传递
导出
摘要 This paper deals with almost sure and moment exponential stability of a class of predictor- corrector methods applied to the stochastic differential equations of Ito-type. Stability criteria for this type of methods are derived. The methods are shown to maintain almost sure and moment exponential stability for all sufficiently small timesteps under appropriate conditions. A numerical experiment further testifies these theoretical results.
作者 Yuanling NIU Chengjian ZHANG
机构地区 School of Mathematics and Statistics School of Mathematics and Statistics
出处 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2012年第4期736-743,共8页 系统科学与复杂性学报（英文版）
基金 supported by NSFC under Grant Nos.11171125 and 91130003 NSFH under Grant No. 2011CDB289 the Freedom Explore Program of Central South University
关键词 Almost sure stability moment exponential stability numerical experiment stochastic differential equations. 随机微分方程 指数稳定性 校正方法 预测 稳定性判据 时间步长 数值试验
分类号 O211.63 [理学—概率论与数理统计]
  • 相关文献

参考文献15

  • 1M. Carletti, K. Burrage and P. M. Burrage, Numerical simulation of stochastic ordinary differential equations in biomathematical modelling, Mathematics and Computers in Simulation, 2004, 64: 271-277.
  • 2Y. Xu, L. J. S. AlIena, A. S. Perelson, Stochastic model of an influenza epidemic with drug resistance, Journal of Theoretical Biology, 2007, 248: 179-193.
  • 3Y. Cao and D. Samuels, Discrete stochastic simulation methods for chemically reacting systems, Methods in Enzymology, 2009, 454: 115-140.
  • 4P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, SpringerVerlag, Berlin, 1992.
  • 5K. Burrage and P. M. Burrage, High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Applied Numerical Mathematics, 1996,22: 81-101.
  • 6K. Burrage and T. Tian, Predictor-corrector methods of Runge-Kutta type for stochastic differential equations, SIAM Journal on Numerical Analysis, 2002, 40(4): 1516-1537.
  • 7Y. Saito and T. Mitsui, Stability analysis of numerical schemes for stochastic differential equations, SIAM Journal on Numerical Analysis, 1996, 33(6): 2254-2267.
  • 8G. N. Milstein, E. Platen, and H. Schurz, Balanced implicit methods for stiff stochastic systems, SIAM Journal on Numerical Analysis, 1998, 35(3): 1010-1019.
  • 9P. M. Burrage, Runge-Kutta methods for stochastic differential equations, Ph.D. Thesis, The University of Queensland, 1999.
  • 10D. J. Higham, Mean-square and asymptotic stability of the stochastic theta method, SIAM Journal on Numerical Analysis, 2000, 38(3): 753-769.

同被引文献10

引证文献4

二级引证文献7

Journal of Systems Science & Complexity
2012年 第4期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部