A mixed-step algorithm for the approximation of the stationary regime of a diffusion
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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
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