Numerical Approximations to the Stationary Solutions of Stochastic Differential Equations

DOI10.1137/100797886zbMath1229.60084OpenAlexW2085571716MaRDI QIDQ3097462

Huaizhong Zhao, Andrei Yevik

Publication date: 10 November 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://dspace.lboro.ac.uk/2134/15310

zbMATH Keywords

numerical approximationstationary solutionrandom dynamical system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (6)

Mean-square numerical approximations to random periodic solutions of stochastic differential equations ⋮ Backward Euler-Maruyama method for the random periodic solution of a stochastic differential equation with a monotone drift ⋮ Numerical approximation of random periodic solutions of stochastic differential equations ⋮ The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations ⋮ Ergodic numerical approximation to periodic measures of stochastic differential equations ⋮ The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients

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