scientific article; zbMATH DE number 4032733

MaRDI QIDQ3773006zbMATH OpenFDO

Authors Denis Talay

Publication date 1987

zbMATH Keywords

discretization schemeunique invariant measureCesaro mean

Mathematics Subject Classification ID

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

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

Cited in

(3)

• Geometric ergodicity of discrete-time approximations to multivariate diffusions
• Sur quelques algorithmes récursifs pour les probabilités numériques
• 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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