几类随机微分方程解的稳定性的分析本科毕业设计（论文）.docVIP

硕士学位论文 几类随机微分方程解的稳定性的分析 Stability Analysis of solution for Several Classes of Stochastic Differential Equations 赵鹏程 哈尔滨工业大学 2014年6月国内图书分类号：×××× 学校代码：10213 国际图书分类号：×××× 密级：公开 理学硕士学位论文 几类随机微分方程解的稳定性的分析 硕士研究生 ： 赵鹏程 导 师 ： 李龙锁教授 申请学位 ： 理学硕士 学科 ： 概率论与数理统计 所 在 单 位 ： 理学院 答 辩 日 期 ： 2014年6月 授予学位单位 ： 哈尔滨工业大学 Classified Index: ×××× U.D.C: ×××× Dissertation for the Master Degree in Science Stability Analysis of solution for Several Classes of Stochastic Differential Equations Candidate： Zhao Pengcheng Supervisor： Prof.Li longsuo Academic Degree Applied for： Master of Science Speciality： Probability and Mathematical statistics Affiliation： School of Science Date of Defence： June, 2014 Degree-Conferring-Institution： Harbin Institute of Technology 摘 要 随机微分方程（SDES阶矩和均方稳定性的条件，并给出了相应的数值模拟。将Euler-Maruyama方法应用于随机延迟微分方程，证明了此数值方法是均方稳定的，同时给出了方法满足均方稳定的条件。 关键词：；Abstract Stochastic differential equations are widely used in biology, physics, economics, control and other fields. For a long time, because the lack of effective numerical methods for solving SDES and computer resources available so that when you create mathematical models tend to ignore the influence of random factors.Recently, some scholars have achieved certain useful results in the numerical solution of stochastic differential equations, which will also mean some random model can be studied by means of mathematical software. Firstly,this paper describes the background knowledge of SDES and some properties of their analytic solutions, existence and uniqueness theorem and their expression. Due to the complex stochastic systems, it is usually difficult to obtain the analytical expression of the theoretical solution of the equation, so the construction of the numerical method becomes extremely important. In this thesis, it mainly gives the conditions of two types of SDES p-moment stability and mean square stability, and gives their c