Numerical stationary distribution and its convergence for nonlinear stochastic differential equations

DOI10.1016/j.cam.2014.08.019zbMath1310.65009OpenAlexW2077901095MaRDI QIDQ458164

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

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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