Communication structure of discretized degenerate diffusion processes and approximation of Lyapunov exponents

DOI10.1515/MCMA.2001.7.3-4.411MaRDI QIDQ2732339zbMATH OpenOpenAlexFDO

Authors Volker Wihstutz

Publication date 23 July 2001

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2001.7.3-4.411

zbMATH Keywords

degenerate diffusionEuler schemesLyapunov exponentMonte Carlo methodweakly nondegenerate diffusion processes

Mathematics Subject Classification ID

Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Review text

The paper considers Euler schemes for weakly nondegenerate diffusion processes. It studies the properties that the approximation inherits from the original process. These properties are used to approximate the largest Lyapunov exponent associated with the original diffusion.

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Cited in

(1)

• Heterogeneous Hegselmann–Krause Dynamics With Environment and Communication Noise

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