THE MEAN-SQUARE STABILITY OF NUMERICAL-METHODS FOR SOLVING STOCHASTIC DIFFERENTIAL-EQUATIONS

被引：9
作者：
ARTEMEV, SS
机构：
来源：
RUSSIAN JOURNAL OF NUMERICAL ANALYSIS AND MATHEMATICAL MODELLING | 1994年 / 9卷 / 05期
基金：
俄罗斯基础研究基金会;
关键词：
D O I：
10.1515/rnam.1994.9.5.405
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The notion of a mean-square rigid system of stochastic differential equations is introduced. The asymptotic stability and mean-square A-stability are defined for numerical methods of solving stochastic differential equations. A family of mean-square A-stable numerical methods for solving stochastic differential equations in Ito sense is cited as an example. Numerical calculations are given.
引用
收藏
页码：405 / 416
页数：12
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