Numerical approximation of stochastic theta method for random periodic solution of stochastic differential equations

DOI10.1007/S10255-020-0959-7MaRDI QIDQ2023741zbMATH OpenOpenAlexFDO

Authors Rong Wei, Chuanzhong Chen

Publication date 3 May 2021

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-020-0959-7

zbMATH Keywords

error analysisnumerical approximationrandom periodic solutionstochastic theta method

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Numerical approximation of random periodic solutions of stochastic differential equations
• Mean-square numerical approximations to random periodic solutions of stochastic differential equations
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• On the approximation of the solutions of stochastic equations with θ-integrals
• Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations

Cites work

• Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
• scientific article; zbMATH DE number 44587 (Why is no real title available?)
• Numerical approximation of random periodic solutions of stochastic differential equations

Cited in

(12)

• Mean-square numerical approximations to random periodic solutions of stochastic differential equations
• Numerical approximation of random periodic solutions of stochastic differential equations
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• On the approximation of the solutions of stochastic equations with θ-integrals
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations
• Backward Euler-Maruyama method for the random periodic solution of a stochastic differential equation with a monotone drift
• Random periodic solutions of SDEs: existence, uniqueness and numerical issues
• Approximation of random periodic solutions for neutral type SDEs with non-uniform dissipativity
• Stochastic theta methods for random periodic solution of stochastic differential equations under non-globally Lipschitz conditions
• Approximations of random periodic solutions for path-dependent stochastic differential equations with finite/infinite delay
• Order-one convergence of the backward Euler method for random periodic solutions of semilinear SDEs

This page was built for publication: Numerical approximation of stochastic theta method for random periodic solution of stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2023741)