随机微分方程米尔斯坦方法的几乎必然及矩指数稳定.docVIP

随机微分方程米尔斯坦方法的几乎必然及矩 指数稳定 张雨馨1，王鹏2 1 哈尔滨工程大学理学院，哈尔滨市　 150001 2 吉林大学数学学院，长春市　 130012 摘要：本文中，我们研究了随机微分方程的显式和半隐式米尔斯坦格式的几乎必然及矩指数稳 定性。在一定条件下，我们不仅证明了一维噪声下的稳定性，还论证了多维噪声情形的几乎必 然及矩指数稳定性。 关键词：米尔斯坦格式；单边利普西兹条件；指数稳定性；线性增长条件 中图分类号： O225 Almost sure and moment exponential stability of Milstein methods for stochastic di?erential equations ZHANG Yu-Xin1, WANG Peng2 1 College of Science, Harbin Engineering University, Harbin 150001 2 College of Mathematics, Jilin University, Changchun 130012 Abstract: In this paper, almost sure and moment exponential stability of explicit and semi-implicit Milstein methods for stochastic di?erential equations (SDEs) is studied. Motivated by the work of Higham, Mao and Yuan [Almost sure and moment exponential stability in the numerical simulation of stochastic di?erential equations], we investigate stability properties in the limit as the timestep tends to zero. The analysis proceeds as follows: We begin by showing that when scalar-noise SDE obeys some proper conditions, the Milstein method reproduces almost sure and small moment exponential stability for su?ciently small stepsizes. Then similar conclusions for the semi-implicit Milstein scheme is proved when the drift coe?cient of the SDE obeys a one-sided Lipschitz condition. Finally We generalize our results to multidimensional noise SDEs. Key words: Milstein scheme; one-sided Lipschitz condition; exponential stability; linear growth condition 基金项目： Specialized Research Fund for the Doctoral Program of Higher Education (20090061120038) 作者简介： Zhang YuXin（1983-），Female，lecturer，major research direction：the numerical analysis of stochastic di?erential equations. Correspondence author：Wang Peng （1977-），male，associate professor，major research direction： the numerical analysis of stochastic di?erential equations. -1- 1 Introduction In this article we consider d-dimensional autonomous nonlinear It^o SDE  dy(t) = f(y(t))dt + g(y(t))dW (t),  t ≥ 0,  y(0) ?= 0 ∈ Rd,  (1.1)  where W (t) = (W 1