Weak error estimates and ergodicity results are established for the stochastic theta method and backward Euler method applied to monotone jump-diffusion SODEs, including a one-order convergence rate for invariant measures in the jump-free case.
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Weak Error Estimates of Ergodic Approximations for Monotone Jump-diffusion SODEs
Weak error estimates and ergodicity results are established for the stochastic theta method and backward Euler method applied to monotone jump-diffusion SODEs, including a one-order convergence rate for invariant measures in the jump-free case.