Invariant measure of the backward Euler method for stochastic differential equations driven by α \alpha ‐stable process

DOI10.1002/MMA.9018MaRDI QIDQ6179864zbMATH OpenFDO

Authors Yanan Jiang, Liangjian Hu, Jianqiu Lu

Publication date 18 December 2023

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

invariant measurestochastic differential equationsbackward Euler method\(\alpha\)-stable processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
• Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in \(p\)th moment and stability
• Exponential ergodicity and strong ergodicity for SDEs driven by symmetric \(\alpha \)-stable processes
• Exponential ergodicity for population dynamics driven by \(\alpha\)-stable processes
• First order strong approximations of scalar SDEs defined in a domain
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Lévy Processes and Stochastic Calculus
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process

Cited in

(2)

• Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme
• Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations

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