Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

DOI10.1016/S0304-4149(02)00150-3zbMath1075.60072OpenAlexW2104049095MaRDI QIDQ2574509

Andrew M. Stuart, Desmond J. Higham, Jonathan C. Mattingly

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00150-3

zbMATH Keywords

stochastic differential equations invariant measure geometric ergodicity time discretization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Transition functions, generators and resolvents (60J35)

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Uses Software

Matlab

Cites Work