The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients

DOI10.1016/J.APNUM.2022.09.017MaRDI QIDQ2106211zbMATH OpenOpenAlexWikidataFDO

Authors Wei Liu, Xuerong Mao, Yue Wu

Publication date 9 December 2022

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2206.09970

zbMATH Keywords

backward Euler-Maruyama methodimplicit methodstationary measurestochastic differential equationsuper-linear coefficients

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, stochastic differential equations (65Cxx) Numerical methods for ordinary differential equations (65Lxx)

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Cited in

(22)

• Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence
• Convergence and Approximation of Invariant Measures for Neural Field Lattice Models under Noise Perturbation
• The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
• Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients
• The linearly backward Milstein method with truncated Wiener process for the stochastic SIS epidemic model
• Strong convergence in the infinite horizon of numerical methods for stochastic differential equations
• On numerical discretizations that preserve probabilistic limit behaviors for time-homogeneous Markov processes
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• Geometric ergodicity and strong error estimates for tamed schemes of super-linear SODEs
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• Numerical invariant measure for periodic stochastic differential equations with superlinear terms

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