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四川师范大学学报(自然科学版) 2015

分裂的Euler-Maruyama误差修正法

DOI: 10.3969/j.issn.1001-8395.2015.06.007, PP. 830-833

殷政伟,王天军

Keywords: 随机微分方程数值解,误差修正法,分裂法,Euler-Maruyama方法

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Abstract:

在Euler-Maruyama方法基础上提出一种新的显式的分裂法,该方法可以用来求解随机常微分方程的数值解.与Euler-Maruyama方法相比,该方法具有较大的均方稳定域,因此该方法可以用来求解一些刚性随机微分方程.最后,通过数值算例说明该方法的有效性及可实现性.

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