NUMERICAL APPROXIMATION OF STATIONARY DISTRIBUTIONS FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

作者：Bao, Jianhai^*; Yuan, Chenggui

来源：Journal of Applied Probability, 2014, 51(3): 858-873.

DOI：10.1239/jap/1409932678

• Stochastic partial differential equation
• mild solution
• stationary distribution
• exponential integrator scheme
• numerical approximation

In this paper we discuss an exponential integrator scheme, based on spatial discretization and time discretization, for a class of stochastic partial differential equations. We show that the scheme has a unique stationary distribution whenever the step size is sufficiently small, and that the weak limit of the stationary distribution of the scheme as the step size tends to 0 is in fact the stationary distribution of the corresponding stochastic partial differential equations.

• 出版日期2014-9
• 单位中南大学