A mixed-step algorithm for the approximation of the stationary regime of a diffusion (Q2434491)
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scientific article; zbMATH DE number 6255773
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| English | A mixed-step algorithm for the approximation of the stationary regime of a diffusion |
scientific article; zbMATH DE number 6255773 |
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A mixed-step algorithm for the approximation of the stationary regime of a diffusion (English)
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6 February 2014
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stochastic differential equation
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stationary process
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steady regime
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ergodic diffusion
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central limit theorem
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Euler scheme
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Poisson equation
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Richardson-Romberg extrapolation
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0.8850862
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0.87684596
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0.8752343
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0.8751918
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