RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
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Publication:4467388
DOI10.1142/S0219493703000838zbMath1044.60069OpenAlexW4299527265MaRDI QIDQ4467388
Damien Lamberton, Gilles Pagès
Publication date: 9 June 2004
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493703000838
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
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Cites Work
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- Convergence rate of some semi-groups to their invariant probability
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- An Iterative Monte Carlo Scheme for Generating Lie Group-Valued Random Variables
- Sur quelques algorithmes récursifs pour les probabilités numériques
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