Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients
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Publication:6540040
invariant measureKolmogorov equationsprojected methodstochastic differential equationsweak convergence
Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) 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
- $V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs
- Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
- An introduction to infinite-dimensional analysis
- Approximation of invariant measure for damped stochastic nonlinear Schrödinger equation via an ergodic numerical scheme
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
- Approximation of the invariant measure with an Euler scheme for stochastic PDEs driven by space-time white noise
- Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
- High order numerical approximation of the invariant measure of ergodic SDEs
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- Invariant measures for stochastic nonlinear Schrödinger equations. Numerical approximations and symplectic structures
- Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
- Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
- Non-asymptotic convergence bounds for modified tamed unadjusted Langevin algorithm in non-convex setting
- Nonasymptotic bounds for sampling algorithms without log-concavity
- Second order PDE's in finite and infinite dimension
- Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
- Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
- Stochastic differential equation with piecewise continuous arguments: Markov property, invariant measure and numerical approximation
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise
- Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
- The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
Cited in
(8)- Mean-square contractivity and convergence rate of stochastic theta Milstein schemes for non-autonomous SDEs with non-globally Lipschitz diffusion coefficients
- Order-one explicit approximations of random periodic solutions of semi-linear SDEs with multiplicative noise
- Strong convergence rates for long-time approximations of SDEs with non-globally Lipschitz continuous coefficients
- Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
- Projected Langevin Monte Carlo algorithms in non-convex and super-linear setting
- Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients
- Numerical approximations to invariant measures of hybrid stochastic differential equations with superlinear coefficients via the backward Euler-Maruyama method
- Invariant measures of the stochastic theta method for stochastic differential equations with super-linearly growing coefficients
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