Numerical approximations to the stationary solutions of stochastic differential equations

In this paper, we investigate the possibility of approximating the stationary solution of a stochastic differential equation (SDE). We start with the random dynamical system generated by the SDE with the multiplicative noise. We prove that the pullback flow has a stationary point. However, the stati...

Full description

Saved in:
Bibliographic Details
Main Authors: Andrei Yevik, Huaizhong Zhao
Format: Default Article
Published: 2011
Subjects:
Other mathematical sciences not elsewhere classified
Random dynamical system
Stationary solution
Numerical approximation
Mathematical Sciences not elsewhere classified
Online Access:https://hdl.handle.net/2134/15310
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items