应用数学2006，Vol.19Issue(2)：231-235,5.
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
Convergence and Stability of Numerical Solution to SDEs with Markovian Switching
摘要
Abstract
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.关键词
随机微分方程/Markov链/Euler法/MS-稳定性/M-矩阵Key words
Stochastic differential equation/Markov chain/Euler method/MS-stability/M-matrix分类
数理科学引用本文复制引用
李荣华,孟红兵,常秦..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[J].应用数学,2006,19(2):231-235,5.基金项目
China University of Petroleum (East China) Foundation (Y050805) （East China）
