Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme

DOI10.1051/ps/2023017arXiv2010.00512OpenAlexW3090028287MaRDI QIDQ6197999

Charles-Edouard Bréhier

Publication date: 20 February 2024

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.00512

zbMATH Keywords

stochastic differential equationsinvariant distributiontamed Euler scheme

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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