Journal article
Backward Euler–Maruyama method for the random periodic solution of a stochastic differential equation with a monotone drift
- Abstract:
- In this paper, we study the existence and uniqueness of the random periodic solution for a stochastic differential equation with a one-sided Lipschitz condition (also known as monotonicity condition) and the convergence of its numerical approximation via the backward Euler–Maruyama method. The existence of the random periodic solution is shown as the limit of the pull-back flows of the SDE and the discretized SDE, respectively. We establish a convergence rate of the strong error for the backward Euler–Maruyama method with order of convergence 1/2.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, pdf, 865.9KB, Terms of use)
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- Publisher copy:
- 10.1007/s10959-022-01178-w
Authors
- Publisher:
- Springer
- Journal:
- Journal of Theoretical Probability More from this journal
- Volume:
- 36
- Pages:
- 605-622
- Publication date:
- 2022-05-11
- Acceptance date:
- 2022-04-09
- DOI:
- EISSN:
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1572-9230
- ISSN:
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0894-9840
- Language:
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English
- Keywords:
- Pubs id:
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1260773
- Local pid:
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pubs:1260773
- Deposit date:
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2023-01-27
Terms of use
- Copyright holder:
- Yue Wu
- Copyright date:
- 2022
- Rights statement:
- Copyright © 2022, The Author(s). This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
- Licence:
- CC Attribution (CC BY)
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