Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations

DOI10.1007/s11075-019-00735-5zbMath1459.65012arXiv1801.09047MaRDI QIDQ2173342

Wei Liu, Yanan Jiang, Lihui Weng

Publication date: 22 April 2020

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.09047

zbMATH Keywords

nonlinear stochastic differential equations; numerical stationary distribution; stochastic theta method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations