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胡軍浩,方明,高帥斌.混雜隨機泛函微分方程修正截斷EM算法的強收斂率[J].中南民族大學學報自然科學版,2019,(2):291-297
混雜隨機泛函微分方程修正截斷EM算法的強收斂率
Strong convergence rate of modified truncated EM algorithm of hybrid stochastic functional differential equations
  
DOI:10.12130/znmdzk.20190225
中文關鍵詞: 隨機泛函微分方程  混雜系統  截斷EM算法  強收斂率
英文關鍵詞: stochastic functional differential equations  hybrid systems  truncated EM algorithm  strong convergence rate
基金項目:國家自然科學基金資助項目(61876192)
作者單位
胡軍浩,方明,高帥斌 中南民族大學 數學與統計學學院,武漢430074 
摘要點擊次數: 197
全文下載次數: 193
中文摘要:
      對于非線性混雜隨機泛函微分方程的數值解,提出一種新的在空間和時間上都截斷的EM數值算法. 該算法在空間上截斷主要針對的是非線性系數,在時間上截斷主要改善泛函方程數值算法的復雜度. 根據此算法,得出非線性混雜隨機泛函微分方程數值解的強收斂率,理論結果表明:強收斂率和Markovian切換有關. 最后,給出一個例子說明算法的有效性.
英文摘要:
      In this paper, the new modified truncated EM numerical algorithm of nonlinear hybrid stochastic functional differential equations is proposed. The nonlinear coefficients of these equations are truncated in space, and, the complexity of the algorithm is improved by truncated in time. According to the new algorithm, the strong convergence rate of the numerical solutions of these equations is obtained. The strong convergence rate depends on Markovian switching. Finally, an example is provided to illustrate the effectiveness of the algorithm.
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