The aim of this paper is to discuss existence and uniqueness of random periodic solutions to stochastic differential equations (SDEs) with multiplicative noise under a one-sided Lipschitz condition, as well as on their numerical approximation via two classes of stochastic θ-methods, i.e., θ-Maruyama methods with θ∈[1/2,1] and θ-Milstein ones with θ∈[0,1]. The existence of the random periodic solutions as the limit of the pull-back flows of the discretized SDEs and the strong convergence rate of the aforementioned methods are also investigated. Selected numerical experiments confirming the theoretical analysis are also given.

Random periodic solutions of SDEs: Existence, uniqueness and numerical issues

Moradi, Afsaneh;D'Ambrosio, Raffaele
2024-01-01

Abstract

The aim of this paper is to discuss existence and uniqueness of random periodic solutions to stochastic differential equations (SDEs) with multiplicative noise under a one-sided Lipschitz condition, as well as on their numerical approximation via two classes of stochastic θ-methods, i.e., θ-Maruyama methods with θ∈[1/2,1] and θ-Milstein ones with θ∈[0,1]. The existence of the random periodic solutions as the limit of the pull-back flows of the discretized SDEs and the strong convergence rate of the aforementioned methods are also investigated. Selected numerical experiments confirming the theoretical analysis are also given.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/250579
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