Numerical approximations to the stationary solutions of stochastic differential equations

2014-07-23T12:29:28Z (GMT) by Andrei Yevik Huaizhong Zhao
In this paper, we investigate the possibility of approximating the stationary solution of a stochastic differential equation (SDE). We start with the random dynamical system generated by the SDE with the multiplicative noise. We prove that the pullback flow has a stationary point. However, the stationary point is not constructible explicitly; therefore, we look at the numerical approximation. We prove that the discrete time random dynamical system also has a stationary point. Finally, we prove mean-square convergence of the approximate stationary solution to the exact stationary solution as the time step diminishes, as well as almost surely convergence when the time step is rational.