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具有马尔可夫调制的随机微分方程数值解的收敛性和稳定性(英文) 被引量：8

Convergence and Stability of Numerical Solution to SDEs with Markovian Switching
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摘要 研究了一类具有马尔可夫调制的线性随机微分方程Euler数值解的收敛性和稳定性,建立了Euler数值解MS稳定性的定义,确定了Euler数值解MS稳定的条件. This paper deals with the convergence and stability of the Euler method for a linear stochastic differential equations with Markovian switching. The definition of MS-stability of numerical method is established. The conditions under which the method is MS-stable is determined.
作者 李荣华 孟红兵 常秦
机构地区 西安交通大学理学院 中国石油大学应用数学系
出处 《应用数学》 CSCD 北大核心 2006年第2期231-235,共5页 Mathematica Applicata
基金 ChinaUniversityofPetroleum(EastChina)Foundation(Y050805)
关键词 随机微分方程 MARKOV链 EULER法 MS-稳定性 M-矩阵 Stochastic differential equation Markov chain Euler method MS-stability M- matrix
分类号 O211.63 [理学—概率论与数理统计]
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参考文献11

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应用数学
2006年 第2期

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