RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT (Q4467388)
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scientific article; zbMATH DE number 2071135
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| English | RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT |
scientific article; zbMATH DE number 2071135 |
Statements
RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT (English)
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9 June 2004
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diffusion process
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invariant distribution
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Euler scheme
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0.8484957218170166
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0.8454908728599548
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0.831146776676178
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0.8239172697067261
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0.8145115375518799
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