平衡隐式方法的均方A-稳定条件

J4 ›› 2011, Vol. 49 ›› Issue (01): 76-78.

平衡隐式方法的均方A-稳定条件

牟育, 吕显瑞, 王鹏

吉林大学数学学院, 长春 130012

收稿日期:2010-04-14 出版日期:2011-01-26 发布日期:2011-02-19
通讯作者: 王鹏 E-mail:pwang@jlu.edu.cn

Conditions of MeanSquare A-Stability ofBalanced Implicit Methods

MAO Yo, LV Xian-Rui, WANG Peng

College of Mathematics, Jilin University, Changchun 130012, China

Received:2010-04-14 Online:2011-01-26 Published:2011-02-19
Contact: WANG Peng E-mail:pwang@jlu.edu.cn

摘要/Abstract

摘要：

讨论求解Ito随机微分方程的平衡隐式方法, 给出了该方法的均方稳定性与检验问题稳定性间的关系, 并通过比较给出了证明平衡隐式方法的
A-稳定条件.

关键词: 随机微分方程；平衡隐式方法；均方稳定性, A-稳定性

Abstract:

We discussed balanced implicit method for solving Ito stochastic differential equations (SDEs). The meansquare stability of one method and the relation between the stabilities of method and problem were also discussed. The conditions of A-stability of balanced implicit methods were given.

Key words: stochastic differential equation, balanced implicit method, meansquare stability, Astablity

中图分类号:

O241.8

牟育, 吕显瑞, 王鹏. 平衡隐式方法的均方A-稳定条件[J]. J4, 2011, 49(01): 76-78.

MAO Yo, LV Xian-Rui, WANG Feng. Conditions of MeanSquare A-Stability ofBalanced Implicit Methods[J]. J4, 2011, 49(01): 76-78.

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