Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations

DOI10.1137/090770527zbMath1217.65014arXiv0908.4450OpenAlexW3124025666MaRDI QIDQ3084200

M. V. Tretyakov, Andrew M. Stuart, Jonathan C. Mattingly

Publication date: 15 March 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.4450

zbMATH Keywords

stochastic differential equationerror analysisPoisson equationEuler schemetime averagingergodic limitsconvergence of weak schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Finite difference and finite volume methods for ordinary differential equations (65L12)

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