解系数间断随机微分方程的Heun法

J4 ›› 2011, Vol. 49 ›› Issue (02): 228-233.

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Heun Method for Numerically Solving StochasticDifferential Equations with Discontinuous Coefficients

CHEN Xumei^1,2, MENG Pinchao³

1. Faculty of Science, Jiangsu University, Zhenjiang 212013, Jiangsu Province, China;2. Institute of Mathematics, Jilin University, Changchun 130012, China;3. School of Science, Changchun University of Science and Technology, Changchun 130022, China

Received:2010-06-08 Online:2011-03-26 Published:2011-06-14
Contact: CHEN Xumei E-mail:chenxumei@ujs.edu.cn

Abstract

Abstract:

We studied the numerical method for stochastic differential equations with discontinuous coefficients via Heun method. The numerical computational scheme was given to solve such a type of equations. The weak convergence of the method was also discussed. The numerical examples demonstrate that the convergence rate of Heun method was faster than that of Euler method.

Key words: Heun method, discontinuous coefficient, stochastic differential equation, weak convergence

CLC Number:

O241.8

CHEN Xu-Mei, MENG Pin-Chao. Heun Method for Numerically Solving StochasticDifferential Equations with Discontinuous Coefficients[J].J4, 2011, 49(02): 228-233.

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Heun Method for Numerically Solving StochasticDifferential Equations with Discontinuous Coefficients

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