Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
| Autor: | Lihui Weng, Yanan Jiang, Wei Liu |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Stationary distribution
Applied Mathematics Numerical analysis Probability (math.PR) Nonlinear stochastic differential equations Numerical Analysis (math.NA) 010103 numerical & computational mathematics 01 natural sciences 010101 applied mathematics Convergence (routing) Theory of computation FOS: Mathematics Applied mathematics Uniqueness Mathematics - Numerical Analysis 0101 mathematics Algebra over a field Diffusion (business) Mathematics - Probability Mathematics |
| Popis: | The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is 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. 29 pages, 12 figures |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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