网络出版日期: 2016-05-15
基金资助
Supported by National Natural Science Foundation of China(11471310,11071251)
Full implicit schemes for stochastic differential equations with one noise
Online published: 2016-05-15
Supported by
Supported by National Natural Science Foundation of China(11471310,11071251)
通过将Itô型随机微分方程转换为等价的Stratonovich型和向后Itô型随机微分方程,构造出分别与Stratonovich型和向后Itô型随机微分方程相容的两种全隐式随机数值格式.这两种数值格式应用于带一个噪声的随机微分方程,且均为均方1阶收敛的.
关键词： 随机微分方程; 全隐式数值格式; Itô; 型随机微分方程; Stratonovich型随机微分方程
孙丽莹 , 王丽瑾 . 带有一个噪声的随机微分方程的全隐式格式[J]. 中国科学院大学学报, 2016 , 33(3) : 306 -310 . DOI: 10.7523/j.issn.2095-6134.2016.03.004
Two kinds of full implicit numerical schemes for stochastic differential equations in the Itô sense are given via construction of the numerical methods for the equivalent stochastic differential equations in the sense of Stratonovich and Backward-Itô. This approach could be applied to the stochastic differential equations with one noise, and we prove that the two methods which are generated by the equivalent stochastic differential equations are of mean-square order 1.
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