A mixed-step algorithm for the approximation of the stationary regime of a diffusion
From MaRDI portal
Publication:2434491
DOI10.1016/j.spa.2013.07.011zbMath1284.60075MaRDI QIDQ2434491
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2013.07.011
stochastic differential equation; central limit theorem; Poisson equation; Richardson-Romberg extrapolation; stationary process; Euler scheme; ergodic diffusion; steady regime
60F05: Central limit and other weak theorems
60G10: Stationary stochastic processes
65C05: Monte Carlo methods
60J60: Diffusion processes
65D15: Algorithms for approximation of functions
Related Items
Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds, Weighted multilevel Langevin simulation of invariant measures, Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics, Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach, Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
- Recursive computation of the invariant distribution of a diffusion
- Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
- Stability in distribution for a class of singular diffusions
- On Poisson equation and diffusion approximation. II.
- On the Poisson equation and diffusion approximation. III
- On the Poisson equation and diffusion approximation. I
- An adaptive scheme for the approximation of dissipative systems
- Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
- Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity