Abstract
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.
Citation
Jianhai Bao. Chenggui Yuan. "Numerical approximation of stationary distributions for stochastic partial differential equations." J. Appl. Probab. 51 (3) 858 - 873, September 2014. https://doi.org/10.1239/jap/1409932678
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