scientific article; zbMATH DE number 4032733

zbMATH Open0634.60055MaRDI QIDQ3773006FDOQ3773006

Denis Talay

Publication date: 1987

Title of this publication is not available (Why is that?)

Recommendations

• Geometric ergodicity of discrete-time approximations to multivariate diffusions
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Discretization and simulation of stochastic differential equations
• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• Ergodic approximation of the distribution of a stationary diffusion: rate of convergence

zbMATH Keywords

discretization schemeunique invariant measureCesaro mean

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (3)

• Sur quelques algorithmes récursifs pour les probabilités numériques
• Geometric ergodicity of discrete-time approximations to multivariate diffusions
• Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme

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