Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations

被引：8
作者：
Jiang, Yanan [1 ]
Weng, Lihui [1 ]
Liu, Wei [1 ]
机构：
[1] Shanghai Normal Univ, Dept Math, Shanghai, Peoples R China
来源：
NUMERICAL ALGORITHMS | 2020年 / 83卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Stochastic theta method; Nonlinear stochastic differential equations; Numerical stationary distribution; SURE ASYMPTOTIC STABILITY; EXPONENTIAL STABILITY; INVARIANT-MEASURES; MEAN-SQUARE; FINITE;
D O I：
10.1007/s11075-019-00735-5
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method are studied. When the parameter theta takes different values, the requirements on the drift and diffusion coefficients are different. The convergence of the numerical stationary distribution to the true counterpart is investigated. Several numerical experiments are presented to demonstrate the theoretical results.
引用
收藏
页码：1531 / 1553
页数：23
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