A numerical scheme for invariant distributions of constrained diffusions (Q5169701)
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scientific article; zbMATH DE number 6316365
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| English | A numerical scheme for invariant distributions of constrained diffusions |
scientific article; zbMATH DE number 6316365 |
Statements
A Numerical Scheme for Invariant Distributions of Constrained Diffusions (English)
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11 July 2014
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reflected diffusion
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heavy traffic theory
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stochastic networks
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Skorohod problem
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invariant measures
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stochastic algorithms
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Monte Carlo simulation
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stochastic differential equation
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consistency
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convergence
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0.7687691450119019
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0.7662399411201477
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0.7660708427429199
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0.7649150490760803
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