Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
Numerical Analysis
2018-01-30 v1 Probability
Abstract
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.
Keywords
Cite
@article{arxiv.1801.09047,
title = {Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations},
author = {Yanan Jiang and Wei Liu and Lihui Weng},
journal= {arXiv preprint arXiv:1801.09047},
year = {2018}
}
Comments
29 pages, 12 figures