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

DOI10.1007/S10255-020-0959-7zbMATH Open1467.65004OpenAlexW3081597225MaRDI QIDQ2023741FDOQ2023741

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

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zbMATH Keywords

error analysisnumerical approximationstochastic theta methodrandom periodic solution

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
• Numerical approximation of random periodic solutions of stochastic differential equations

Cited In (8)

• Random periodic solutions of SDEs: existence, uniqueness and numerical issues
• On the approximation of the solutions of stochastic equations with θ-integrals
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Mean-square numerical approximations to random periodic solutions of stochastic differential equations
• 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
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• Numerical approximation of random periodic solutions of stochastic differential equations

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