High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs (Q2927824)
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English | High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs |
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High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs (English)
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4 November 2014
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invariant measure
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weak order
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ergodicity
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modified differential equations
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backward error analysis
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stochastic differential equation
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convergence
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stochastic theta method
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Runge-Kutta method
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numerical example
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