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

DOI10.1016/j.amc.2019.04.049zbMath1428.60081arXiv1804.09923OpenAlexW2963084233WikidataQ128002390 ScholiaQ128002390MaRDI QIDQ2279356

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

Related Items

Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations, Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence, The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients

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