一类二维随机微分系统的Runge-Kutta方法的均方稳定性

Marwan I. Abukhaled
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引用次数: 6

摘要

尽管在开发随机微分方程的数值格式方面做了大量的工作,但这些格式在应用于随机微分系统时的稳定性分析仍处于早期阶段。受Saito和Mitsui在[11]中的工作的激励,我们研究了应用于二维随机微分系统的一类弱二阶龙格-库塔格式的均方稳定性。将建立稳定性准则,并提供数值例子来支持理论分析。(©2004 WILEY-VCH Verlag GmbH &KGaA公司,Weinheim)
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Mean Square Stability of a Class of Runge-Kutta Methods for 2-Dimensional Stochastic Differential Systems

Despite the intensive work done on developing numerical schemes for stochastic differential equations, stability analysis of these schemes when applied to stochastic differential systems is still under premature stage. Motivated by the work of Saito and Mitsui in [11], we investigate mean square stability for a class of weak second order Runge-Kutta schemes applied to 2-dimensional stochastic differential systems. Stability criteria will be established, and numerical examples in support of the theoretical analysis will be provided. (© 2004 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)

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