NUMERICAL APPROXIMATION OF STATIONARY DISTRIBUTIONS FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

来源 :The 11th Workshop on Markov Processes and Related topics(第十一 | 被引量 : 0次 | 上传用户：h4628241

【摘要】

：

　　In this paper,we discuss an exponential integrator scheme,based on spatial discretization and time discretization,for a class of stochastic partial differen

【作者】

：

JianhaiBAO[1]ChengguiYuan[2]

【机构】

：

Central South University,P.R.China

【出处】

：

The 11th Workshop on Markov Processes and Related topics(第十一

【发表日期】

：

2015年期

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　　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 stepsize is suffciently small,and that the weak limit of the stationary distribution of the scheme as the stepsize tends to zero is in fact the stationary distribution of the corresponding stochastic partial differential equations.

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NUMERICAL APPROXIMATION OF STATIONARY DISTRIBUTIONS FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

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