The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
نویسندگان
چکیده
The backward Euler-Maruyama (BEM) method is employed to approximate the invariant measure of stochastic differential equations, where both drift and diffusion coefficient are allowed grow super-linearly. existence uniqueness numerical solution generated by BEM proved convergence underlying one shown. Simulations provided illustrate theoretical results demonstrate application our in area system control.
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ژورنال
عنوان ژورنال: Applied Numerical Mathematics
سال: 2023
ISSN: ['1873-5460', '0168-9274']
DOI: https://doi.org/10.1016/j.apnum.2022.09.017