分段连续型随机微分方程指数Euler方法的收敛性及稳定性-计算数学专业论文.docx

Classified Index: O241.8 U.D.C: 519.09 Dissertation for the Master Degree in Science CONVERGENCE AND STABILITY OF EXPONENTIAL EULER METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH PIECEWISE CONTINUOUS ARGUMENTS Candidate： Wang Weiwei Super visor ： Associated Professor Song Minghui Academic Degr ee Applied for ： Master of Science Speciality： Computational of Mathematics Affiliation： School of Science Date of Defence： July 2012 Degr ee-Conferr ing-Institution： Harbin Institute of Technology 摘要 摘要 I I 摘 要 分段连续型微分方程 EPCA(Equations with Piecewise Continuous Arguments) 在经济学、物理、环境科学、控制理论等学科中都有着广泛的应用。因此，这类 方程吸引了很多国内外学者的关注，已经有关于精确解和数值解收敛性及稳定性 的一些重要结论。但是，到目前为止将环境噪声的影响考虑到模型中进行研究的 学者非常少，然而在实际生活中任何数学模型中都存在着噪声对其的影响，所以 研究带噪声的分段连续型微分方程即分段连续型随机微分方程有着十分重要的 意义。 论文主要研究了分段连续型随机微分方程数值解的均方收敛性和稳定性。 本文从随机延迟微分方程和分段连续型微分方程的研究背景出发，阐述了众 多学者对此类微分方程研究的历史和现状。介绍了指数 Runge-Kutta 方法的一阶 形式即指数 Euler 方法，将指数 Euler 方法应用到半线性分段连续型随机微分方 程上，得到了此数值方法的均方收敛阶为 0.5，并用数值试验验证了这个结论的 正确性。 本文的一个重要部分就是对分段连续型微分方程稳定性的研究，给出了指数 Euler 方法应用在线性分段连续型随机微分方程均方稳定的充分条件和半线性分 段连续型随机微分方程均方稳定的充分条件。并且证明了这种数值方法保持了精 确解的稳定性。 关键词: 分段连续型随机微分方程；指数 Euler 方法；收敛性；稳定性 Ab Abstract II II Abstract Differential equations with piecewise continuous arguments(EPCA) as important models are applied widely in many fields, such as economical, physical, biological systems and control theory and so on. This equations had attracted much attention, and many useful conclusion was obtained about convergence and stability. However, up to now there is only a few scholars who have considered the influence of noise in the mathematics model. Actually, the environment and accidental events may greatly influence the systems. Thus analyzing stochastic differential equations with piecewise continuous arguments(SEPCA) is an interesting topics both in theory and applications. The paper focus on the stability and convergence of numerical solutions for stochastic differential equations with piecewise continuous arguments. The paper surveys the recent developments of the st