Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
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Publication:2173342
DOI10.1007/s11075-019-00735-5zbMath1459.65012arXiv1801.09047OpenAlexW2963915177WikidataQ127823376 ScholiaQ127823376MaRDI QIDQ2173342
Yanan Jiang, Wei Liu, Lihui Weng
Publication date: 22 April 2020
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.09047
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (6)
The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ Invariant measure of the backward Euler method for stochastic differential equations driven by α$$ \alpha $$‐stable process ⋮ The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
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