A mixed-step algorithm for the approximation of the stationary regime of a diffusion (Q2434491): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.spa.2013.07.011 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1966195514 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability in distribution for a class of singular diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the functional central limit theorem and the law of the iterated logarithm for Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4315016 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3911791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3923307 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3217380 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recursive computation of the invariant distribution of a diffusion / rank
 
Normal rank
Property / cites work
 
Property / cites work: RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT / rank
 
Normal rank
Property / cites work
 
Property / cites work: An adaptive scheme for the approximation of dissipative systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation of the distribution of a stationary Markov process with application to option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ergodic approximation of the distribution of a stationary diffusion: rate of convergence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computation of the invariant measure for a Lévy driven SDE: Rate of convergence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Poisson equation and diffusion approximation. I / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Poisson equation and diffusion approximation. II. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Poisson equation and diffusion approximation. III / rank
 
Normal rank

Latest revision as of 07:43, 7 July 2024

scientific article
Language Label Description Also known as
English
A mixed-step algorithm for the approximation of the stationary regime of a diffusion
scientific article

    Statements

    A mixed-step algorithm for the approximation of the stationary regime of a diffusion (English)
    0 references
    0 references
    0 references
    6 February 2014
    0 references
    stochastic differential equation
    0 references
    stationary process
    0 references
    steady regime
    0 references
    ergodic diffusion
    0 references
    central limit theorem
    0 references
    Euler scheme
    0 references
    Poisson equation
    0 references
    Richardson-Romberg extrapolation
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references