应用数学2023，Vol.36Issue(4)：1059-1068,10.
利用带有改进算子矩阵的模块脉冲函数求非线性随机微分方程数值解
Numerical Solution of Nonlinear Stochastic Differential Equations by Block Pulse Functions with Improved Operator Matrix
摘要
Abstract
This paper introduces an effective numerical method based on the block pulse functions with improved operator matrix to solve the nonlinear stochastic differential equations.The nonlinear stochastic differential equation is transformed into a set of algebraic equations by the improved operator matrix of block pulse function.Furthermore,we perform an error analysis and demonstrate that the method converges faster.Finally,numerical examples are used to support the method.关键词
随机微分方程/改进算子矩阵/模块脉冲函数Key words
Stochastic differential equation/Improved operator matrix/Block pulse function分类
数学引用本文复制引用
姜国,刘富钢,陈丹..利用带有改进算子矩阵的模块脉冲函数求非线性随机微分方程数值解[J].应用数学,2023,36(4):1059-1068,10.基金项目
Supported by the NSF Grant of Hubei Province(2022CFD042,2023AFD013) （2022CFD042,2023AFD013）
