A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations

DOI10.1016/j.apnum.2020.05.008OpenAlexW2898863036WikidataQ115360384 ScholiaQ115360384MaRDI QIDQ2192616

Ziheng Chen, Si-qing Gan, Xiao-Jie Wang

Publication date: 17 August 2020

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.01759

zbMATH Keywords

stochastic partial differential equationsergodicityinvariant measureweak approximationexponential Euler scheme

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Approximation methods and numerical treatment of dynamical systems (37Mxx) Probabilistic methods, stochastic differential equations (65Cxx) Ordinary differential equations and systems with randomness (34Fxx)

Related Items (6)

Approximation of the invariant distribution for a class of ergodic SPDEs using an explicit tamed exponential Euler scheme ⋮ Full discretization error analysis of exponential integrators for semilinear wave equations ⋮ An advanced numerical scheme for multi-dimensional stochastic Kolmogorov equations with superlinear coefficients ⋮ Strong optimal error estimates of discontinuous Galerkin method for multiplicative noise driving nonlinear <scp>SPDEs</scp> ⋮ Numerical ergodicity of two dimensional stochastic Navier-Stokes equations with Gaussian noise ⋮ CLT for approximating ergodic limit of SPDEs via a full discretization

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