Approximation of the ergodic measure of SDEs with singular drift by Euler-Maruyama scheme

Xinghu Jin, Wei Wang, Lihu Xu +1

We study the approximation of the ergodic measure of the following stochastic differential equation (SDE) on ${\mathbb{R}}^d$: \begin{eqnarray}\label{e:SDEE} d X_t &=& (b_1(X_t)+b_2(…