Convergence of numerical time-averaging and stationary measures via Poisson equations

SIAM Journal on Numerical Analysis

Volumn 48, Issue 2, 2010, Pages 552-577

  Mattingly, Jonathan C ^a   Stuart, Andrew M ^b   Tretyakov, M V ^c  

^a DUKE UNIVERSITY   (United States)

^b UNIVERSITY OF WARWICK   (United Kingdom)

^c UNIVERSITY OF LEICESTER   (United Kingdom)

Author keywords

Convergence of weak schemes; Ergodic limits; Poisson equation; Stochastic differential equations; Time averaging

Indexed keywords

ERGODIC LIMIT; ERGODIC LIMITS; STOCHASTIC DIFFERENTIAL EQUATIONS; TIME AVERAGING; WEAK SCHEME;

CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; ERROR ANALYSIS; MEASUREMENT THEORY; RANDOM VARIABLES; STOCHASTIC SYSTEMS;

POISSON EQUATION;

EID: 77950857322     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/090770527     Document Type: Article

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