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サイトウ ヨシヒロ
Yoshihiro Saito
齊藤 善弘 所属 経済情報学部 職種 教授 |
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| 言語種別 | 英語 |
| 発行・発表の年月 | 2008/03 |
| 形態種別 | 研究論文 |
| 標題 | Stability analysis of numerical methods for stochastic systems with additive noise |
| 執筆形態 | 単著 |
| 掲載誌名 | Review of Economics and Information Studies |
| 掲載区分 | 国内 |
| 巻・号・頁 | 8,pp.119-123 |
| 概要 | Stochastic differential equations (SDEs) represent physical phenomena dominated by stochastic processes. As for deterministic ordinary differential equations (ODEs), various numerical methods are proposed for SDEs. We have proposed two types of numerical stability for SDEs, namely mean-square stability and trajectory stability. However we have considered the analysis for the test equation with multiplicative noise only, but not additive. In this note we
will study numerical stability analysis for a test system with additive noise and will show some results for the Euler-Maruyama method. |