Backward Euler-Maruyama method for the random periodic solution of a stochastic differential equation with a monotone drift
DOI10.1007/s10959-022-01178-wzbMath1518.37009OpenAlexW4280589649WikidataQ114225091 ScholiaQ114225091MaRDI QIDQ6046200
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Publication date: 16 May 2023
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-022-01178-w
stochastic differential equationsbackward Euler-Maruyama methodrandom periodic solutionmonotone drift
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear first-order PDEs (35F05) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)
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