Recursive computation of invariant distributions of Feller processes
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Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
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- Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
- Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
- Convergence rate of some semi-groups to their invariant probability
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
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- Hybrid switching diffusions. Properties and applications
- Nonasymptotic convergence analysis for the unadjusted Langevin algorithm
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- Practical drift conditions for subgeometric rates of convergence.
- Recursive computation of the invariant distribution of a diffusion
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
- Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- Semigroups of linear operators and applications to partial differential equations
- Sur quelques algorithmes récursifs pour les probabilités numériques
- The parabolic differential equations and the associated semigroups of transformation
- Weak convergence of recursions
Cited in
(5)- Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
- Feller property and infinitesimal generator of the exploration process
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Discretization of the ergodic functional central limit theorem
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
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