Numerical Approximation of Stochastic Theta Method for Random Periodic Solution of Stochastic Differential Equations

Numerical Approximation of Stochastic Theta Method for Random Periodic Solution of Stochastic Differential Equations

In this paper, we make use of stochastic theta method to study the existence of the numerical approximation of random periodic solution. We prove that the error between the exact random periodic solution and the approximated one is at the 1 4 order time step in mean sense when the initial time tends...

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Veröffentlicht in:Acta Mathematicae Applicatae Sinica 2020-07, Vol.36 (3), p.689-701
Hauptverfasser: Wei, Rong, Chen, Chuan-zhong
Format: Artikel
Sprache:eng
Schlagworte:
Applications of Mathematics
Approximation
Differential equations
Math Applications in Computer Science
Mathematical analysis
Mathematical and Computational Physics
Mathematics
Mathematics and Statistics
Theoretical
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Zusammenfassung:In this paper, we make use of stochastic theta method to study the existence of the numerical approximation of random periodic solution. We prove that the error between the exact random periodic solution and the approximated one is at the 1 4 order time step in mean sense when the initial time tends to ∞.
ISSN:0168-9673
1618-3932
DOI:10.1007/s10255-020-0959-7