具有马尔可夫调制的随机微分方程数值解的收敛性和稳定性
구유마이가부조제적수궤미분방정수치해적수렴성화은정성
Convergence and Stability of Numerical Solution to SDEs with Markovian Switching
  • 万方数据
    应用数学 응용수학
    MATHEMATICA APPLICATA
    2006年 2期 231-235 ,共5页

    李荣华%孟红兵%常秦

    리영화%맹홍병%상진

    随机微分方程%Markov链%Euler法%MS-稳定性%M-矩阵 隨機微分方程%Markov鏈%Euler法%MS-穩定性%M-矩陣
    수궤미분방정%Markov련%Euler법%MS-은정성%M-구진
    Stochastic differential equation%Markov chain%Euler method%MS-stability%M-matrix
    研究了一类具有马尔可夫调制的线性随机微分方程Euler数值解的收敛性和稳定性,建立了Euler数值解MS-稳定性的定义,确定了Euler数值解MS-稳定的条件.
    연구료일류구유마이가부조제적선성수궤미분방정Euler수치해적수렴성화은정성,건립료Euler수치해MS-은정성적정의,학정료Euler수치해MS-은정적조건.
    This paper deals with the convergence and stability of the Euler method for a linear stochastic differential equations with Markovian switching. The definition of MS-stability of numerical method is established. The conditions under which the method is MS-stable is determined.
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