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arXiv:1801.09047 [math.NA]AbstractReferencesReviewsResources

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

Yanan Jiang, Wei Liu, Lihui Weng

Published 2018-01-27Version 1

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.

Comments: 29 pages, 12 figures
Categories: math.NA, math.PR
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