A mixed-step algorithm for the approximation of the stationary regime of a diffusion
Publication:2434491
DOI10.1016/j.spa.2013.07.011zbMath1284.60075OpenAlexW1966195514MaRDI QIDQ2434491
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2013.07.011
stochastic differential equationcentral limit theoremPoisson equationRichardson-Romberg extrapolationstationary processEuler schemeergodic diffusionsteady regime
Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Monte Carlo methods (65C05) Diffusion processes (60J60) Algorithms for approximation of functions (65D15)
Related Items (5)
Cites Work
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