Numerical approximation of random periodic solutions of stochastic differential equations

DOI10.1007/s00033-017-0868-7zbMath1382.37051arXiv1512.04488OpenAlexW2287988740WikidataQ59613216 ScholiaQ59613216MaRDI QIDQ1690541

Yu Liu, Chunrong Feng, Huaizhong Zhao

Publication date: 19 January 2018

Published in: ZAMP. Zeitschrift für angewandte Mathematik und Physik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.04488

zbMATH Keywords

infinite horizonrate of convergenceEuler-Maruyama methodperiodic measurerandom periodic solutionmodified Milstein method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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