Second-order discretization schemes of stochastic differential systems for the computation of the invariant law

DOI10.1080/17442509008833606zbMath0697.60066OpenAlexW2005424012MaRDI QIDQ3473913

Denis Talay

Publication date: 1990

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00075799/file/RR-0753.pdf

zbMATH Keywords

simulation of stochastic differential equationsinvariant law of a stochastic differential equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites Work

• Discretization and simulation of stochastic differential equations
• Simulation of diffusions with boundary conditions
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• The solving of boundary value problems by numerical integration of stochastic equations
• General Irreducible Markov Chains and Non-Negative Operators
• Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
• The existence of moments for stationary Markov chains
• Asymptotic analysis of P.D.E.s with wide–band noise disturbances, and expansion of the moments
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Numerical Treatment of Stochastic Differential Equations
• An asymptotically efficient difference formula for solving stochastic differential equations

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