摘要
通过数值例子说明Euler法求解随机微分方程解的二阶矩时插值法的必要性.研究了Euler法用于均方稳定的线性检验方程时,两种插值方法的均方稳定和指数稳定性.通过数值例子比较了两种插值的不同,并分析了导致差异的原因.
It is illustrated by using a numerical example that interpol ation is necessary when Euler scheme is used to solve the first and the second moments of solution of stochastic differential equation. The properties of two kinds of interpolation are studied with Euler scheme for solving stochastic differential equations with mean square stability or exponential stability. Another numerical example is used to compare the results of two kinds of interpolations. The reason of causing the two different interpolating results is discussed.
出处
《纺织高校基础科学学报》
CAS
2003年第1期14-18,共5页
Basic Sciences Journal of Textile Universities
