摘要
讨论分段连续型随机微分方程θ方法的稳定性。给出方程精确解的稳定区域,通过给出方程θ方法的离散格式,确定分段连续型随机微分方程θ方法的稳定性区域,该区域在一定条件下包含精确解的稳定区域,数值算例验证了所得结果的有效性。
Main aim is to study the stability in mean square of the θ -methods to stochastic differential equations with piecewise continuous arguments （SEPCAs）. The stability region of the exact solution to the equations is given, the stability region of the θ -method of stochastic differential equation with piecewise continuous is determined by giving the discrete scheme of θ -method. The conditions under which the ana- lytic stability region is contained in the numerical stability region are obtained. A numerical example is given to verify the effectiveness of the proposed method.
出处
《黑龙江大学自然科学学报》
CAS
北大核心
2017年第6期682-688,共7页
Journal of Natural Science of Heilongjiang University
基金
Supported by the Youth Science Foundation of Heilongjiang Province(QC2016001)
关键词
随机微分方程
分段连续型
θ方法
stochastic differential equations
piecewise continuous arguments
θ-methods
