{
  "id": "0908.4450",
  "version": "v3",
  "published": "2009-08-31T03:13:51.000Z",
  "updated": "2010-02-28T22:21:02.000Z",
  "title": "Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations",
  "authors": [
    "Jonathan C. Mattingly",
    "Andrew M. Stuart",
    "M. V. Tretyakov"
  ],
  "comment": "Added a section on Richardson-Romberg (Talay-Tubaro) error expansion and expanded a number of comments",
  "journal": "SIAM J. Numer. Anal. 48 (2010) 552-577",
  "doi": "10.1137/090770527",
  "categories": [
    "math.PR",
    "math.NA"
  ],
  "abstract": "Numerical approximation of the long time behavior of a stochastic differential equation (SDE) is considered. Error estimates for time-averaging estimators are obtained and then used to show that the stationary behavior of the numerical method converges to that of the SDE. The error analysis is based on using an associated Poisson equation for the underlying SDE. The main advantage of this approach is its simplicity and universality. It works equally well for a range of explicit and implicit schemes including those with simple simulation of random variables, and for hypoelliptic SDEs. To simplify the exposition, we consider only the case where the state space of the SDE is a torus and we study only smooth test functions. However we anticipate that the approach can be applied more widely. An analogy between our approach and Stein's method is indicated. Some practical implications of the results are discussed.",
  "revisions": [
    {
      "version": "v3",
      "updated": "2010-02-28T22:21:02.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "65C30",
      "60H35",
      "37H10",
      "60H10"
    ],
    "keywords": [
      "stationary measures",
      "numerical time-averaging",
      "convergence",
      "smooth test functions",
      "long time behavior"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2009arXiv0908.4450M"
    }
  }
}