Backward Euler–Maruyama Method for the Random Periodic Solution of a Stochastic Differential Equation with a Monotone Drift
نویسندگان
چکیده
Abstract In this paper, we study the existence and uniqueness of random periodic solution for a stochastic differential equation with one-sided Lipschitz condition (also known as monotonicity condition) convergence its numerical approximation via backward Euler–Maruyama method. The is shown limit pull-back flows SDE discretized SDE, respectively. We establish rate strong error method order 1/2.
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2022
ISSN: ['1572-9230', '0894-9840']
DOI: https://doi.org/10.1007/s10959-022-01178-w