分数阶布朗运动驱动的随机延迟微分方程数值解

• 作者: 曹婉容 李学艳
• 来源期刊: 高等学校计算数学学报
• 学科: 数学
• 年，卷（期）: 2017,（4）
• 页码范围: 289-315
• 页数: 27页
• 分类号: O241.81|O211.63
• 语种: 中文

摘要

For stochastic delay differential equations driven by a fractional Brownian motion (FSDDE) with Hurst parameter 1/2 ＜ H ＜ 1,we construct Euler scheme and modified Euler scheme,then prove that the both proposed schemes are convergent respectively in the sense of Lp norm for FSDDE.Furthermore,we give convergence order of the two schemes.Compared to the classical Euler scheme,the modified Euler scheme can obtain higher accuracy.