随机微分方程依分布周期解的有限元近似

Abstract

Abstract: The finite element method was used to solve the probability density function with periodic properties to study the statistical properties of stochastic periodic solutions. We proved the integral conservation of the full space approximate solution and the spatial integral approximate conservation of the approximate solution truncated to a finite interval, and verified the effectiveness of the method by numerical experiments.

Key words: stochastic differential equation, stochastic periodic solution in distribution, Fokker-Planck equation, finite element method, approximate conservation

CLC Number:

O242.21

YANG Xue, HU Qingwan, ZHOU Jinhui. Finite Element Approximation to Periodic Solution in Distribution of Stochastic Differential Equation[J].Journal of Jilin University Science Edition, 2022, 60(6): 1301-1307.

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Finite Element Approximation to Periodic Solution in Distribution of Stochastic Differential Equation

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