Numerical approximations to the stationary solutions of stochastic differential equations

DOI10.1137/100797886zbMATH Open1229.60084OpenAlexW2085571716MaRDI QIDQ3097462FDOQ3097462

Authors: Andrei Yevik, Huaizhong Zhao 

Publication date: 10 November 2011

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

Full work available at URL: https://dspace.lboro.ac.uk/2134/15310

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zbMATH Keywords

numerical approximationrandom dynamical systemstationary solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (18)

• The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
• Discretization of stationary solutions of SPDE's by external approximation in space and time
• Mean-square numerical approximations to random periodic solutions of stochastic differential equations
• Discretization of asymptotically stable stationary solutions of delay differential equations with a random stationary delay
• Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
• Backward Euler-Maruyama method for the random periodic solution of a stochastic differential equation with a monotone drift
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• Ergodic numerical approximation to periodic measures of stochastic differential equations
• Convergence of numerical time-averaging and stationary measures via Poisson equations
• Some remarks on the numerical approximation of stochastic differential equations
• A mixed-step algorithm for the approximation of the stationary regime of a diffusion
• Approximation of stationary solutions of Gaussian driven stochastic differential equations
• Numerical approximation of random periodic solutions of stochastic differential equations
• The Galerkin analysis for the random periodic solution of semilinear stochastic evolution equations
• The pathwise numerical approximation of stationary solutions of semilinear stochastic evolution equations
• Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
• Title not available (Why is that?)
• Numerical approximation of stationary distributions for stochastic partial differential equations

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