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math.NA2018★ 1 cited
Invariant measures of the Milstein method for stochastic differential equations with commutative noise
Lihui Weng, Wei Liu
In this paper, the Milstein method is used to approximate invariant measures of stochastic differential equations with commutative noise. The decay rate of the transition probabili…
math.NA2018★ 2 cited
Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
Yanan Jiang, Wei Liu, Lihui Weng
The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is studied. When the parameter theta takes different…