几类延迟随机微分方程数值解法的几乎确定指数稳定性-计算数学专业论文.docxVIP

Abs Abstract - - I - Abstract As stochastic delay differential equations (SDDEs) established, this class of equations has been received a great deal of attention and has been applied in many fields, such as medicine, economics, automatic control etc. Since few differential equations can be solved explicitly, it is necessary to develop the numerical methods for these equations. In view of the importance of stability theory in numerical analysis, this paper mainly investigats the stability of two numerical methods for SDDEs, which are non-Euler type. This paper is arranged as follows: In Chaper 1, the history of SDDEs as well as numerical stability theory of numerical methods for SDDEs is reviewed briefly. The main contents are introduced in general. In Chapter 2, some basic notations, definitions, assumptions and useful lemmas are introduced as prelimineries of this paper. In Chapter 3, the conditions under which Stochastic Split-step Theta (SST) method can reproduce the almost sure exponential stability of the exact solutions to stochastic delay differential equations (SDDEs) for any ? ?[0,1] are investigated. The numerical experiment confirms the correctness of the theorem obtained. In Chaper 4, one new scheme named Stochastic Non-Standard Finite Difference (SNSFD) method for a special class of SDDEs is introduced, which can reproduce the almost sure exponential stability of the exact solutions of the SDDEs as stated in Theorem 4.2. Theorem 4.3 gives the corresponding result in n -dimension. Numerical simulations show the effectiveness of the conclusions. The meaning of this paper is to study the stability of two non-Euler type numerical methods. And by the theorems obtained before, the conditions under which the methods can reproduce the almost sure exponential stability of the exact solutions of SDDEs are given. Keywords: stochastic delay differential equations(SDDEs), almost sure exponential stability, stochastic split-step theta(SST) method, stochastic non-s