Numerical stationary distribution and its convergence for nonlinear stochastic differential equations

DOI10.1016/J.CAM.2014.08.019zbMATH Open1310.65009OpenAlexW2077901095MaRDI QIDQ458164FDOQ458164

Authors: Xuerong Mao, Wei Liu 

Publication date: 7 October 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.08.019

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zbMATH Keywords

weak convergencebackward Euler-Maruyama methodnumerical stationary distributionnonlinear SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (17)

• The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
• Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Invariant measures of the Milstein method for stochastic differential equations with commutative noise
• Numerical approximations to the stationary solutions of stochastic differential equations
• Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
• Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Invariant measure of the backward Euler method for stochastic differential equations driven by α$$ \alpha $$‐stable process
• Convergence of numerical time-averaging and stationary measures via Poisson equations
• Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
• Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence
• Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
• Numerical approximation of stationary distributions for stochastic partial differential equations
• Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations
• The numerical invariant measure of stochastic differential equations with Markovian switching

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