数学杂志Issue(2)：307-317,11.
滞后型分段连续随机微分方程的稳定性
STABILITY OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH PIECEWISE CONSTANT ARGUMENTS OF RETARDED TYPE
摘要
Abstract
In this paper, analytical stability and numerical stability are both studied for stochastic differential equations with piecewise constant arguments of retarded type. First, the condition under which the analytical solutions are mean-square stable is obtained by Itˆo formula. Second, some new results on the numerical stability including the mean-square stability and T-stability of the Euler-Maruyama method are established by using inequality technique and stochas-tic analysis method. It is proved that the Euler-Maruyama method is both mean-square stable and T-stable under some suitable conditions. Our results can be seen as the generalization of the corresponding exist ones on the numerical stability of stochastic delay differential equations.关键词
随机延迟微分方程/分段连续项/Euler-Maruyama方法/均方稳定性/T-稳定性Key words
stochastic delay differential equations/piecewise constant arguments/Euler-Maruyama method/mean-square stability/T-stability分类
数理科学引用本文复制引用
王琦,温洁嫦..滞后型分段连续随机微分方程的稳定性[J].数学杂志,2015,(2):307-317,11.基金项目
Supported by National Natural Science Foundation of China (11201084) （11201084）
