纺织高校基础科学学报2017，Vol.30Issue(2)：236-241,6.DOI:10.13338/j.issn.1006-8341.2017.02.013
求解带跳随机微分方程的一类全隐式方法
Fully implicit methods for solving stochastic jump-diffusion equations
摘要
Abstract
To improve the performance of numerical methods for solving stochastic differential equations with jumps, the implicit method for solving equations is developed into considering the implicitness in jump term, and a new class of fully implicit methods:The compensated θ-balanced numerical methods is prosed.Firstly,it is proved that the numerical method is consistent with order 1.5 in the mean and with order 1.0 in the mean square.Then, it is also proved that the proposed numerical solutions converge to the analytical solutions with rate of 0.5.Finally, some numerical experiments are given to evaluate the performance of the proposed numerical methods.关键词
带跳的随机微分方程/隐式的跳跃项/补偿θ-Balanced方法/均方收敛Key words
stochastic differential equation with jumps/implicit jump term/compensated θ-Balanced method/mean-square convergence分类
数理科学引用本文复制引用
杜颖,刘津汝..求解带跳随机微分方程的一类全隐式方法[J].纺织高校基础科学学报,2017,30(2):236-241,6.基金项目
陕西省教育厅科研计划项目(16JK1637) （16JK1637）
