An adaptive scheme for the approximation of dissipative systems

DOI10.1016/j.spa.2007.02.004zbMath1126.65005arXivmath/0502317OpenAlexW2066897171MaRDI QIDQ2381971

Vincent Lemaire

Publication date: 26 September 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0502317

zbMATH Keywords

stabilitynumerical experimentsdiffusion processLorenz equationsinvariant measureEuler methodstochastic algorithmstochastic Hamiltonian dissipative systems

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Recursive computation of the invariant distribution of a diffusion
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Principal internal resonances in 3-DOF systems subjected to wide-band random excitation
• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT

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