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The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
Numerical Algorithms ( IF 1.7 ) Pub Date : 2021-06-23 , DOI: 10.1007/s11075-021-01137-2
Guoting Song , Junhao Hu , Shuaibin Gao , Xiaoyue Li

This paper focuses on explicit approximations for nonlinear stochastic delay differential equations (SDDEs). Under less restrictive conditions, the truncated Euler-Maruyama (TEM) schemes for SDDEs are proposed, which numerical solutions are bounded in the q th moment for q ≥ 2 and converge to the exact solutions strongly in any finite interval. The 1/2 order convergence rate is yielded. Furthermore, the long-time asymptotic behaviors of numerical solutions, such as stability in mean square and \(\mathbb {P}-1\), are examined. Several numerical experiments are carried out to illustrate our results.



中文翻译:

非线性随机延迟微分方程显式逼近的强收敛性和稳定性

本文重点介绍非线性随机延迟微分方程 (SDDE) 的显式近似。在限制较少的条件下,提出了 SDDE 的截断 Euler-Maruyama (TEM) 方案,其数值解在q ≥ 2的q时刻有界,并在任何有限区间内强烈收敛到精确解。产生了 1/2 阶收敛率。此外,还检查了数值解的长期渐近行为,例如均方稳定性和\(\mathbb {P}-1\)。进行了几个数值实验来说明我们的结果。

更新日期:2021-06-23
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