一类分数阶Langevin方程预估校正算法的数值分析

该文将经典Langevin方程在分数阶上进行拓展,使其具有时间记忆性,采用预估校正算法数值求解一类分数阶Langevin方程.先用R0算法求出预估值,再将预估值代入R2算法中,对数值解进行校正,最终得到一类分数阶Langevin方程预估校正算法的数值解.误差分析证明在该方程的0 α1条件下,预估校正算法是(1+α)阶收敛的.数值试验也表明不同α,步长h取值下,预估校正算法的数值解都是收敛的.     

非线性随机分数阶微分方程Euler方法的弱收敛性

论文首先证明了非线性随机分数阶微分方程解的存在唯一性, 然后构造了数值求解该方程的Euler 方法, 并证明了当方程满足一定约束条件时, 该方法是弱收敛的. 特别地, 当分数阶α=0时, 该方程退化为非线性随机微分方程, 所获结论与现有文献中的相关结论是一致的; 当α ≠ 0, 且初值条件为齐次时, 所获结论可视为现有文献中线性随机分数阶微分方程情形的推广和改进. 随后, 文末的数值试验验证了所获理论结果的正确性.     

二维分数阶Volterra积分方程的修正block-by-block方法

基于经典block-by-block方法的思想,构造了二维分数阶Volterra积分方程的一个修正block-by-block数值求解格式.该方法的优点在于只需求解u(x1,y),u(x2,y),u(x,y_1)和u(x,y_2),其他未知量均不需要耦合求解.数值算例表明该格式具有较好的逼近性.     

基于梯度的Sylvester共轭矩阵方程的迭代解

本文提出了一种基于梯度的Sylvester共轭矩阵方程的迭代算法.通过引入一个松弛参数和采用递阶辨识原理,构造一个迭代算法求解Sylvester矩阵方程.通过应用复矩阵的实数表达以及实数表示的一些性质,收敛性分析表明在一定假设条件下,对于任意初始值,迭代方法均收敛到精确解,数值算例也表明了所给方法的有效性.     

非线性二维Volterra积分方程的一个高阶数值格式

对非线性二维Volterra积分方程构造了一个高阶数值格式.block-byblock方法对积分方程来说是一个非常常见的方法,借助经典block-by-block方法的思想,构造了一个所谓的修正block-by-block方法.该方法的优点在于除u(x_1,y),u(x_2,y),u(x,y_1)和u(x,y_2)外,其余的未知量不需要耦合求解,且保存了block-by-block方法好的收敛性.并对此格式的收敛性进行了严格的分析,证明了数值解逼近精确解的阶数是4阶。     

时间分数阶扩散方程的一个新的高阶有限差分/谱逼近

研究时间分数阶扩散方程,结合时间方向的有限差分格式和空间方向的Legendre Collocation谱方法,构造了一个高阶稳定数值格式.数值算例表明该格式是无条件稳定和长时间稳定的,其收敛阶为O(Δt^3-α+N^-m),其中Δt,N和m分别是时间步长,空间多项式阶数以及精确解的正则度.     

带漂移的单侧正规化回火分数阶扩散方程的Crank-Nicolson拟紧格式

基于已有的针对单侧正规化回火分数阶扩散方程的三阶拟紧算法,将该算法的思想应用于带漂移的单侧正规化回火分数阶扩散方程的数值模拟,并结合Crank-Nicolson方法导出数值格式.证明了数值格式的稳定性与收敛性,且数值格式的时间收敛阶和空间收敛阶分别是二阶和三阶.通过数值试验验证了数值格式的有效性和理论结果.     

Adomian分解法求解非线性分数阶Fredholm积分微分方程

为了求解一类非线性分数阶Fredholm积分微分方程的数值解,本文将Adomian分解法(Adomian Decomposition Method,ADM)引入到非线性分数阶Fredholm微积分方程的求解中.将ADM多项式与分数阶积分定义有效结合,得到Adomian级数解.通过收敛性分析证明所得的级数解收敛于精确解,给出最大绝对截断误差.并结合实例,证明方法的有效性和实用性.     

时间分数阶期权定价模型的一类有效差分方法

时间分数阶期权定价模型(时间分数阶Black-Scholes方程)数值解法的研究具有重要的理论意义和实际应用价值.对时间分数阶Black-Scholes方程构造了显-隐格式和隐-显差分格式,讨论了两类格式解的存在唯一性,稳定性和收敛性.理论分析证实,显-隐格式和隐-显格式均为无条件稳定和收敛的,两种格式具有相同的计算量.数值试验表明:显-隐和隐-显格式的计算精度与经典Crank-Nicolson(C-N)格式的计算精度相当,其计算效率(计算时间)比C-N格式提高30%.数值试验验证了理论分析,表明本文的显-隐和隐-显差分方法对求解时间分数阶期权定价模型是高效的,证实了时间分数阶Black-Scholes方程更符合实际金融市场.     

时间分数阶扩散方程的数值解法

分数阶微分方程在许多应用科学上比整数阶微分方程更能准确地模拟自然现象.考虑时间分数阶扩散方程,将一阶的时间导数用分数阶导数α(0<α<1)替换,给出了一种计算有效的隐式差分格式,并证明了这个隐式差分格式是无条件稳定和无条件收敛的,最后用数值例子说明差分格式是有效的.     

非线性随机分数阶延迟积分微分方程Euler-Maruyama方法的强收敛性

本文研究了一类新的模型问题:非线性随机分数阶延迟积分微分方程.当方程中的漂移项和扩散项满足全局Lipschitz条件和线性增长条件时,基于压缩映射原理给出了该方程解存在唯一的充分条件.由于理论求解的困难,构造了一种数值方法(Euler-Maruyama方法),并证得强收敛阶为α-1/2,α∈(1/2,1].最后通过数值试验,验证了这一理论结果.     

Convergence Analysis of a Block-by-Block Method for Fractional Differential Equations

The block-by-block method, proposed by Linz for a kind of Volterra integral equations with nonsingular kernels, and extended by Kumar and Agrawal to a class of initial value problems of fractional differential equations (FDEs) with Caputo derivatives, is an efficient and stable scheme. We analytically prove and numerically verify that this method is convergent with order at least 3 for any fractional order index $\alpha>0$.     

A block-by-block method for the impulsive fractional ordinary differential equations

In this paper, a block-by-block numerical method is constructed for the impulsive fractional ordinary differential equations (IFODEs). Firstly, the stability and convergence analysis of the scheme are established. Secondly, the numerical solution which converges to the exact solution with order $3+\gamma$ for $0<\gamma<1$ is proved, where $\gamma$ is the order of the fractional derivative. Finally, a series of numerical examples are carried out to verify the correctness of the theoretical analysis.     

带有弱奇性核的多项分数阶非线性随机微分方程的改进Euler-Maruyama格式

针对一类带有弱奇性核的多项分数阶非线性随机微分方程构造了改进Euler-Maruyama (EM)格式,并证明了该格式的强收敛性.具体地,利用随机积分解的充分条件,将此多项分数阶随机微分方程等价地转化为随机Volterra 积分方程的形式,详细推导出对应的改进EM格式,并对该格式进行了强收敛性分析,其强收敛阶为α_m-α_m-1,其中α_i为分数阶导数的指标,且满足0<α₁<…<α_m-1<α_m<1.最后,通过数值实验验证了理论分析结果的正确性.     

Computational scheme for solving nonlinear fractional stochastic differential equations with delay

Abstract

This paper studies the numerical solution of fractional stochastic delay differential equations driven by Brownian motion. The proposed algorithm is based on linear B-spline interpolation. The convergence and the numerical performance of the method are analyzed. The technique is adopted for determining the statistical indicators of stochastic responses of fractional Langevin and Mackey-Glass models with stochastic excitations.     

Error analysis for numerical solution of fractional differential equation by Haar wavelets method

In this paper, an exact upper bound is presented through the error analysis to solve the numerical solution of fractional differential equation with variable coefficient. The fractional differential equation is solved by using Haar wavelets. From the exact upper bound, we can draw a conclusion easily that the method is convergent. Finally, we also give some numerical examples to demonstrate the validity and applicability of the method.     

A Reproducing Kernel Hilbert Space Method for Solving Integro-Differential Equations of Fractional Order

In this article, we implement a relatively new analytical technique, the reproducing kernel Hilbert space method (RKHSM), for solving integro-differential equations of fractional order. The solution obtained by using the method takes the form of a convergent series with easily computable components. Two numerical examples are studied to demonstrate the accuracy of the present method. The present work shows the validity and great potential of the reproducing kernel Hilbert space method for solving linear and nonlinear integro-differential equations of fractional order.     

The approximate and exact solutions of the space- and time-fractional Burgers equations with initial conditions by variational iteration method

In this paper, a scheme is developed to study numerical solution of the space- and time-fractional Burgers equations with initial conditions by the variational iteration method (VIM). The exact and numerical solutions obtained by the variational iteration method are compared with that obtained by Adomian decomposition method (ADM). The results show that the variational iteration method is much easier, more convenient, and more stable and efficient than Adomian decomposition method. Numerical solutions are calculated for the fractional Burgers equation to show the nature of solution as the fractional derivative parameter is changed.     

Numerical comparison of methods for solving linear differential equations of fractional order

In this article, we implement relatively new analytical techniques, the variational iteration method and the Adomian decomposition method, for solving linear differential equations of fractional order. The two methods in applied mathematics can be used as alternative methods for obtaining analytic and approximate solutions for different types of fractional differential equations. In these schemes, the solution takes the form of a convergent series with easily computable components. This paper will present a numerical comparison between the two methods and a conventional method such as the fractional difference method for solving linear differential equations of fractional order. The numerical results demonstrates that the new methods are quite accurate and readily implemented.