High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs (Q2927824)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs |
scientific article |
Statements
High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs (English)
0 references
4 November 2014
0 references
invariant measure
0 references
weak order
0 references
ergodicity
0 references
modified differential equations
0 references
backward error analysis
0 references
stochastic differential equation
0 references
convergence
0 references
stochastic theta method
0 references
Runge-Kutta method
0 references
numerical example
0 references
