Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
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Publication:5854339
DOI10.1093/imanum/dry015zbMath1461.65007OpenAlexW2794748126MaRDI QIDQ5854339
George Yin, Xuerong Mao, Xiaoyue Li
Publication date: 16 March 2021
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imanum/dry015
infinite horizonstability analysisinvariant measurefinite horizonmoment boundexplicit Euler-Maruyama scheme
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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