Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation
Publication:902882
DOI10.1214/13-AIHP591zbMath1329.60281arXiv1302.1651MaRDI QIDQ902882
Gilles Pagès, Vincent Lemaire, Fabien Panloup
Publication date: 4 January 2016
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.1651
invariant measure; central limit theorem; gradient system; Richardson-Romberg extrapolation; confluence; Lyapunov exponent; hypoellipticity; Euler scheme; optimal transport; asymptotic flatness; ergodic diffusion; Brownian path
60F05: Central limit and other weak theorems
60G10: Stationary stochastic processes
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
49Q20: Variational problems in a geometric measure-theoretic setting
60J60: Diffusion processes
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Recursive computation of the invariant distribution of a diffusion
- Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation
- Large deviations and stochastic flows of diffeomorphisms
- Brownian motions on the homeomorphisms of the plane
- Stability in distribution for a class of singular diffusions
- Stochastic calculus and degenerate boundary value problems
- A comparison theorem for solutions of stochastic differential equations and its applications
- Coupling methods for multidimensional diffusion processes
- On the Poisson equation and diffusion approximation. I
- Sample path properties of the stochastic flows.
- Collapse of attractors for ODEs under small random perturbations
- Hypoelliptic second order differential equations
- Flows of stochastic dynamical systems: ergodic theory
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Ergodicity for Infinite Dimensional Systems
- Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
- Expansion of the global error for numerical schemes solving stochastic differential equations