Invariant measures of the Milstein method for stochastic differential equations with commutative noise

DOI10.1016/J.AMC.2019.04.049MaRDI QIDQ2279356zbMATH OpenOpenAlexWikidataFDO

Authors Lihui Weng, Wei Liu

Publication date 12 December 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.09923

zbMATH Keywords

convergence rateexponential decayMilstein methodcommutative noisenumerical invariant measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: In this paper, the Milstein method is used to approximate invariant measures of stochastic differential equations with commutative noise. The decay rate of the transition probability kernel generated by the Milstein method to the unique invariant measure of the method is observed to be exponential with respect to the time variable. The convergence rate of the numerical invariant measure to the underlying one is shown to be a one. Numerical simulations are presented to demonstrate the theoretical results.

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Cited in

(5)

• The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence

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