一类四阶发展型随机微分方程的数值计算.pdfVIP

摘要 随着偏微分方程的不断发展, 人们越来越发现确定的方程模型已经不能完 全解决实际中的问题, 因此随机偏微分方程的理论研究和计算就应运而生, 而 且成为了当今数学领域中比较重要的领域. 本文主要考虑如下四阶线性随机偏微分方程：    dU + A Udt = dW, 0 t ≤ T ,   u(0) = u . 的近似数值解法. 在第一章里我们主要介绍有关随机偏微分方程的半群理论. 第二章里我们 着重介绍随机偏微分方程的一些理论知识和性质. 第三章中, 我们首先给出了 数值求解确定性问题的有限元框架, 然后主要讨论了Argyris 元方法. 最后一 章, 我们分析了随机偏微分方程的逼近问题, 并给出了数值实验. 关键字: 半群, 随机偏微分方程, W iener 过程, 有限元方法, Argyris 元 With the progressive development of partial differential equations, it is found that realistic problem can not be solved completely by deterministic mod- els. Under this background, the theoretical analysis of stochastic equations and its numerical solutions are investigated by many mathematicians, and it has become a important topic in mathematics nowadays. In this thesis, we shell consider the numerical solution of following fourth- order linear stochastic differential equation:    dU + A Udt = dW, 0 t ≤ T ,   u(0) = u . In the first chapter, we shell introduce the semigroup theory of stochastic partial equations. We shell present some basic theoretical results of stochastic equations in chapter two. In the third chapter, we shell give the numerical solution of finite element framework about deterministic problem, and then discuss the Argyris element. In the final chapter, we analyze the approximation problem for stochastic differential equations and carry out the numerical experiments. : Semigroup, Stochastic partial differential equation,