Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process

DOI10.1080/07362999908809613zbMath0931.60047OpenAlexW2045386145MaRDI QIDQ4248574

Henri Schurz

Publication date: 20 February 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999908809613

zbMATH Keywords

stochastic differential equationsimplicit Euler method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Related Items (12)

Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method ⋮ Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process ⋮ Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise ⋮ Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations ⋮ Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence ⋮ Almost sure asymptotic stability and convergence of stochastic Theta methods applied to systems of linear SDEs in ⋮ Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations ⋮ Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations ⋮ Analysis of noise-induced transitions for Hopf system with additive and multiplicative random disturbances ⋮ Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\) ⋮ Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes

Cites Work

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• Approximate discrete-time schemes for statistics of diffusion processes
• Numerical Treatment of Stochastic Differential Equations
• Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems
• Numerical Solution of Ito Integral Equations
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
• A special stability problem for linear multistep methods

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