几类随机泛函微分方程数值算法与理论-概率论与数理统计专业论文.docxVIP

华 中 科 技 大 学 博 士 学 位 论 文 IV IV Chapter 3 deals with almost sure and moment exponential stability of a class of predictor-corrector methods applied to the stochastic differential equations of Ito?-type. Sta- bility criteria for this type of methods are derived. The methods are shown to maintain almost sure and moment exponential stability for all sufficiently small timesteps under ap- propriate conditions. Numerical experiment further testifies these theoretical results. In chapter 5, a new explicit stochastic scheme of strong order 1 is proposed for stochas- tic delay differential equations (SDDEs) with sufficiently smooth drift and diffusion coeffi- cients and a scalar Wiener process. The method is derivative-free and is shown to be stable in mean square. A stability theorem for the continuous strong approximation of the solution of a linear test equation by the Milstein method is also proved, which shows the stability bound is larger than bounds given previously in the literature. The case of linear SDDEs is further investigated, in order to compare the stability bounds of these two methods. Numer- ical experiments are given to confirm the stability properties obtained. Chapter 6 presents a multi-scale approach for simulating time-delay biochemical reaction systems when there are wide ranges of molecular numbers. We construct a new approach that can reduce the computational burden on the basis of the idea of a partitioned system and recent developments with stochastic simulation algorithm and the delay stochastic simulation method. It is shown that this algorithm is much more efficient than existing methods such as DSSA method and the modified next reaction method. Some numerical results are reported, confirming the accuracy and computational efficiency of the approximation. Key words: Stochastic functional differential equations, Strong predictor-corrector approx- imation, Stability, Convergence, Explicit order 1.0 strong scheme, Time-delay biochemical reac