The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients

Liu, Wei and Mao, Xuerong and Wu, Yue (2023) The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients. Applied Numerical Mathematics, 184. pp. 137-150. ISSN 0168-9274 (https://doi.org/10.1016/j.apnum.2022.09.017)

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Abstract

The backward Euler-Maruyama (BEM) method is employed to approximate the invariant measure of stochastic differential equations, where both the drift and the diffusion coefficient are allowed to grow super-linearly. The existence and uniqueness of the invariant measure of the numerical solution generated by the BEM method are proved and the convergence of the numerical invariant measure to the underlying one is shown. Simulations are provided to illustrate the theoretical results and demonstrate the application of our results in the area of system control.

ORCID iDs

Liu, Wei, Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864 and Wu, Yue;
CORE (COnnecting REpositories)