Journal of Applied Probability
- J. Appl. Probab.
- Volume 51, Number 3 (2014), 858-873.
Numerical approximation of stationary distributions for stochastic partial differential equations
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.
J. Appl. Probab., Volume 51, Number 3 (2014), 858-873.
First available in Project Euclid: 5 September 2014
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Bao, Jianhai; Yuan, Chenggui. Numerical approximation of stationary distributions for stochastic partial differential equations. J. Appl. Probab. 51 (2014), no. 3, 858--873. doi:10.1239/jap/1409932678. https://projecteuclid.org/euclid.jap/1409932678