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

DOI10.1002/MMA.9018zbMATH Open1527.65004MaRDI QIDQ6179864FDOQ6179864

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)

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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)

Cites Work

• Title not available (Why is that?)
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• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
• Exponential ergodicity and strong ergodicity for SDEs driven by symmetric \(\alpha \)-stable processes
• First order strong approximations of scalar SDEs defined in a domain
• Exponential ergodicity for population dynamics driven by \(\alpha\)-stable processes
• Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in \(p\)th moment and stability
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations

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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