Invariant density estimation for a reflected diffusion using an Euler scheme

DOI10.1515/mcma-2017-0104zbMath1370.60132OpenAlexW2606786454MaRDI QIDQ2628125

Patrick Cattiaux, Clémentine Prieur, José Rafael León

Publication date: 12 June 2017

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-01683980/file/MCMA.2016.0008.pdf

zbMATH Keywords

invariant measureconvergence ratediscrete approximationEuler schemeergodic reflected diffusion process

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ergodicity, mixing, rates of mixing (37A25) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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