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Invariant measure of the backward Euler method for stochastic differential equations driven by α-stable process
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  • Yanan Jiang,
  • Liangjian Hu,
  • Can Lv,
  • Jianqiu Lu
Yanan Jiang
Donghua University College of Information Science and Technology

Corresponding Author:[email protected]

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Liangjian Hu
Donghua University Department of Statistics
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Can Lv
Donghua University College of Information Science and Technology
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Jianqiu Lu
Donghua University Department of Statistics
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Abstract

The backward Euler method is employed to approximate the invariant measure of a class of stochastic differential equations(SDEs) driven by α-stable processes. The existence and uniqueness of the numerical invariant measure is proved. Then the numerical invariant measure is shown to converge to the underlying invariant measure. Numerical examples are provided to demonstrate the theoretical results.

Peer review status:ACCEPTED

02 Jul 2022Submitted to Mathematical Methods in the Applied Sciences
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04 Jul 2022Submission Checks Completed
04 Jul 2022Assigned to Editor
25 Jul 2022Reviewer(s) Assigned
27 Aug 2022Review(s) Completed, Editorial Evaluation Pending
04 Oct 2022Editorial Decision: Revise Major
26 Oct 20221st Revision Received
27 Oct 2022Submission Checks Completed
27 Oct 2022Assigned to Editor
27 Oct 2022Review(s) Completed, Editorial Evaluation Pending
12 Dec 2022Reviewer(s) Assigned
15 Dec 2022Editorial Decision: Accept