| Autor: |
Guo, Yujia, Wang, Xiaojie, Wu, Yue |
| Rok vydání: |
2025 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
This paper is devoted to order-one explicit approximations of random periodic solutions to multiplicative noise driven stochastic differential equations (SDEs) with non-globally Lipschitz coefficients. The existence of the random periodic solution is demonstrated as the limit of the pull-back of the discretized SDE. A novel approach is introduced to analyze mean-square error bounds of the proposed scheme that does not depend on a prior high-order moment bounds of the numerical approximations. Under mild assumptions, the proposed scheme is proved to achieve an expected order-one mean square convergence in the infinite time horizon. Numerical examples are finally provided to verify the theoretical results. |
| Databáze: |
arXiv |
| Externí odkaz: |
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