几类随机延迟微分方程解析解及数值方法的收敛性和稳定性-基础数学专业论文.docxVIP

哈尔滨工业大学理学博士学位论文 哈尔滨工业大学理学博士学位论文 Abstract Abstract – – PAGE IV – – – PAGE III – 关键词 随机延迟微分方程:随机比例方程:数值方法:稳定性:收敛性 Abstract Stochastic delay differential equations as important models are applied widely in many fields such as physics, biology, medicine, economics and control science. The explicit solutions of SDDEs can hardly obtained. Hence investigating appro- priate numerical methods and studying the properties of the numerical solutions are very important both in theory and in application. Recently numerous authors studied the SDDEs with constant delays and numerical methods for this kind of equations. Only a few authors studied the SDDEs with variable delays, especially the SDDEs with unbounded delays, for instance, the stochastic pantograph equations. In the paper, we focus on the existence and uniqueness and the pth moment stability of the analytical solutions, the convergence and the pth moment sta- bility of the numerical methods for stochastic pantograph equations. Moreover, we also discussed the mean square stability of stochastic differential equations with unbounded delays and the pth moment exponential stability of stochastic differential equations with a constant delay. The recent developments of the studies are surveyed for stochastic differential equations and stochastic delay differential equations and the present situation is analyzed. The conditions of the mean square stability of the analytical solutions for the stochastic differential equations with unbounded delays are obtained. The mean square stability of Euler method applied to the linear stochastic differential equations is investigated. Some numerical experiments are given. The pth moment exponentially stability of the numerical methods for the stochastic differential equations with a constant delay is obtained by using the Razumikhin-type technique. Especially, we obtained the conditions of the ex- ponential stability in mean square of the explicit Euler methods applied to the linear stoc