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

DOI10.1016/J.SPA.2013.07.011MaRDI QIDQ2434491zbMATH OpenOpenAlexFDO

Authors Gilles Pagès, Fabien Panloup

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

zbMATH Keywords

central limit theoremstochastic differential equationEuler schemePoisson equationstationary processergodic diffusionsteady regimeRichardson-Romberg extrapolation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stationary stochastic processes (60G10) Algorithms for approximation of functions (65D15)

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Cited in

(7)

• 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
• Behavior of the Euler scheme with decreasing step in a degenerate situation
• 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

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