A mixed-step algorithm for the approximation of the stationary regime of a diffusion
DOI10.1016/J.SPA.2013.07.011zbMATH Open1284.60075OpenAlexW1966195514MaRDI QIDQ2434491FDOQ2434491
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
Recommendations
- scientific article
- Numerical approximation of stationary distributions for stochastic partial differential equations
- Publication:3359731
- scientific article; zbMATH DE number 1203376
- scientific article; zbMATH DE number 3913627
- Stochastic approximations with constant step size and differential inclusions
- Numerical approximations to the stationary solutions of stochastic differential equations
- Multi-step methods for random ODEs driven by Itô diffusions
- Stochastic approximation of quasi-stationary distributions for diffusion processes in a bounded domain
central limit theoremstochastic differential equationEuler schemePoisson equationstationary processergodic diffusionsteady regimeRichardson-Romberg extrapolation
Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stationary stochastic processes (60G10) Algorithms for approximation of functions (65D15)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
- On Poisson equation and diffusion approximation. II.
- Title not available (Why is that?)
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- On the Poisson equation and diffusion approximation. I
- Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
- Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
- Stability in distribution for a class of singular diffusions
- On the Poisson equation and diffusion approximation. III
- 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
- Title not available (Why is that?)
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Recursive computation of the invariant distribution of a diffusion
- Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
Cited In (7)
- Behavior of the Euler scheme with decreasing step in a degenerate situation
- Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
- Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
- Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach
- Weighted multilevel Langevin simulation of invariant measures
- Improvement of the Euler scheme for the solution of a stationary diffusion equation by extrapolation
- Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
This page was built for publication: A mixed-step algorithm for the approximation of the stationary regime of a diffusion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2434491)
