| 改进欧拉格式求解随机微分方程的收敛性 |
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| 引用本文： | 贾俊梅. 改进欧拉格式求解随机微分方程的收敛性[J]. 大学数学, 2014, 0(1): 7-11 |
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| 作者姓名： | 贾俊梅 |
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| 作者单位： | 内蒙古工业大学理学院工科数学部,呼和浩特010051 |
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| 基金项目： | 内蒙古工业大学校基金（X201324） |
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| 摘 要： | 采用改进的欧拉格式求解随机微分方程,当方程的偏移系数和扩散系数均满足全局Lipschitz条件和线性增长条件时,证明改进格式的强收敛的阶是1/2.
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| 关 键 词： | 随机微分方程 改进欧拉法 收敛性 |
Convergence of the Improved Euler Scheme for Stochastic Differential Equation |
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| Affiliation: | J ia J un-mei (School of Basic Sciences,Inner Mongolia University of Technology, Hohhot 010051 ,China) |
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| Abstract: | The improved Euler is used to solve stochastic differential equations. Under both of the drift coefficient and diffusion coefficient satisfied the linear growth condition and global Lipschitz condition, It is proved that the improvedEuler scheme is convergence with strong order1/2 |
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| Keywords: | stochastic differential equations improved Euler method convergence |
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