应用数学2013，Vol.26Issue(1)：228-235,8.
单调型条件下随机微分方程θ-方法的均方指数稳定性
Moment Exponential Stability of the θ-method for Stochastic Differential Equations with Monotone-type Condition
陈琳 1殷荣城1
作者信息
- 1. 华中科技大学数学与统计学院,湖北武汉430074
- 折叠
摘要
Abstract
This paper deals with numerical stability properties of highly nonlinear stochastic differential equations (SDEs).Sufficient conditions for moment exponential stability of the θ-methods are investigated.Different from existing literature,in this paper,we do not need one-side linear growth condition and sufficient small step size.We consider the monotone condition,and only a very weak restriction of the step size.This improves the existing results greatly.关键词
随机微分方程/均方指数稳定性/θ-方法/单调条件Key words
Stochastic differential equation/ Moment exponential stability/ θ-method/ Monotone condition分类
数理科学引用本文复制引用
陈琳,殷荣城..单调型条件下随机微分方程θ-方法的均方指数稳定性[J].应用数学,2013,26(1):228-235,8.
