| 随机微分方程的Euler数值解法 |
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| 引用本文： | 胡建成.随机微分方程的Euler数值解法[J].成都信息工程学院学报,2007,22(3):388-393. |
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| 作者姓名： | 胡建成 |
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| 作者单位： | 成都信息工程学院计算科学系,四川成都,610225 |
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| 摘 要： | 基于常微分方程(ODEs)的Euler数值解法,提出了求解一类随机常微分方程(ODEs)的3种Euler格式:显Euler格式,半隐Euler格式和隐Euler格式.讨论了3种Euler格式的T-稳定条件,并给出了部分数值实验结果.
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| 关 键 词： | 随机常微分方程 Euler法 T-稳定 stochastic ordinary differential equation Euler method T-stability 随机微分方程 Euler method 数值解法 differential equations ordinary differential equation stochastic numerical solution results linear test show type stability implicit scheme explicit Based methods scalar autonomous schemes |
| 文章编号： | 1671-1742（2007）03-0388-06 |
| 收稿时间： | 2006-11-17 |
| 修稿时间： | 2006-11-17 |
Euler methods for numerical solution of stochastic ordinary differential equations |
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| HU Jian-cheng.Euler methods for numerical solution of stochastic ordinary differential equations[J].Journal of Chengdu University of Information Technology,2007,22(3):388-393. |
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| Authors: | HU Jian-cheng |
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| Institution: | Dept. of Computing Science, CUIT, Chengdu 610225, China |
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| Abstract: | Based on the well-established numerical methods for the deterministic ordinary differential equations the Euler method is applied to a scalar autonomous stochastic ordinary differential equation and three Euler numerical schemes are given: explicit scheme;semi-implicit sheme and implicit scheme.One type of stability of the Euler method,T-stability,is considered.Numerical results of a linear test equation show that the Euler method for solving SODEs is meaningful. |
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| Keywords: | stochastic ordinary differential equation Euler method T-stability |
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