High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs (Q2927824)

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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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