Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations

作者：Qiu, Qinwei; Liu, Wei^*; Hu, Liangjian

来源：Advances in Difference Equations, 2014, 2014(1): 310.

DOI：10.1186/1687-1847-2014-310

• asymptotic moment boundedness
• stochastic theta method
• numerical stationary distribution

This paper is devoted to the study of reproduction of asymptotic boundedness in the second moment and small moments of stochastic differential equations by the stochastic theta method. In addition, we illustrate that the asymptotic moment boundedness of the numerical solution stand-alone plays a key role in the study of numerical stationary distribution.

• 出版日期2014-12-8
• 单位东华大学