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高阶分裂步(θ1,θ2,θ3)方法的强收敛性

本站小编 Free考研考试/2021-12-27

岳超
郑州航空工业管理学院 经贸学院, 郑州 450015
收稿日期:2017-04-29出版日期:2019-06-15发布日期:2019-05-18


基金资助:国家自然科学基金(11371157,71603243),河南省高校重点科研项目(17A110013,17A520062),2016年河南省政府决策研究招标课题(2016B017,2016B013)和2017年度河南省科技攻关计划(高新技术领域)项目(172102210529)资助.


STRONG CONVERGENCE OF HIGH-ORDER SPLIT-STEP (θ1, θ2, θ3) METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS

Chao Yue
School of Economics and Trade, Zhengzhou University of Aeronautics, Zhengzhou 450015, China
Received:2017-04-29Online:2019-06-15Published:2019-05-18







摘要



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本文首先提出一类高阶分裂步(θ1θ2θ3)方法求解由非交换噪声驱动的非自治随机微分方程.其次在漂移项系数满足多项式增长和单边Lipschitz条件下,证明了当1/2 ≤ θ2 ≤ 1时该方法是1阶强收敛的.此类方法包含很多经典的方法:如随机θ-Milstein方法,向后分裂步Milstein方法等.最后数值实验验证了所得结论.
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