A mixed-step algorithm for the approximation of the stationary regime of a diffusion

DOI10.1016/j.spa.2013.07.011zbMath1284.60075OpenAlexW1966195514MaRDI QIDQ2434491

Fabien Panloup, Gilles Pagès

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

zbMATH Keywords

stochastic differential equationcentral limit theoremPoisson equationRichardson-Romberg extrapolationstationary processEuler schemeergodic diffusionsteady regime

Mathematics Subject Classification ID

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)

Weighted multilevel Langevin simulation of invariant measures ⋮ Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds ⋮ Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach ⋮ Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion ⋮ Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics

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