Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process

DOI10.1080/07362999908809613zbMATH Open0931.60047OpenAlexW2045386145MaRDI QIDQ4248574FDOQ4248574

Henri Schurz

Publication date: 20 February 2000

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

Full work available at URL: https://doi.org/10.1080/07362999908809613

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zbMATH Keywords

stochastic differential equationsimplicit Euler method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

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• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
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Cited In (13)

• Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations
• Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• Almost sure asymptotic stability and convergence of stochastic Theta methods applied to systems of linear SDEs in
• Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
• Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
• Analysis of noise-induced transitions for Hopf system with additive and multiplicative random disturbances
• Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods
• Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise
• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)

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