Invariance principles with logarithmic averaging for ergodic simulations

MaRDI QIDQ5482355zbMATH OpenFDO

Authors O. Bardou

Publication date 28 August 2006

zbMATH Keywords

almost sure central limit theoremasymptotic varianceergodic simulationsFokker-Planck equationGaussian diffusioninvariant measureMonte Carlo method

Mathematics Subject Classification ID

Random dynamical systems (37H99) Functional limit theorems; invariance principles (60F17) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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