Stochastic differential equation with piecewise continuous arguments: Markov property, invariant measure and numerical approximation

DOI10.3934/dcdsb.2022098zbMath1498.60286OpenAlexW4285235232WikidataQ114022641 ScholiaQ114022641MaRDI QIDQ2083331

Chuchu Chen, Jialin Hong, Yulan Lu

Publication date: 10 October 2022

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2022098

zbMATH Keywords

weak convergenceinvariant measureMarkov chainbackward Euler methodstochastic differential equations with piecewise continuous arguments

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

Related Items (2)

Convergence and stability of an explicit method for nonlinear stochastic differential equations with piecewise continuous arguments ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence

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