Sur quelques algorithmes récursifs pour les probabilités numériques

DOI10.1051/PS:2001106zbMATH Open0998.60073OpenAlexW1965998002MaRDI QIDQ4534847FDOQ4534847

Authors: Gilles Pagès 

Publication date: 11 June 2002

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2001__5__141_0

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zbMATH Keywords

ergodicitystabilityMarkov processdiffusionEuler schemestochastic algorithmempirical measureODE method

Mathematics Subject Classification ID

Stochastic approximation (62L20) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (20)

• Dispersion and collapse in stochastic velocity fields on a cylinder
• On long time behavior of some coagulation processes.
• Behavior of the Euler scheme with decreasing step in a degenerate situation
• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• Theoretical and numerical comparison of some sampling methods for molecular dynamics
• RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
• Numerical methods for Stochastic differential equations: two examples
• Recursive computation of invariant distributions of Feller processes
• Approximation of the distribution of a stationary Markov process with application to option pricing
• Discretization of the ergodic functional central limit theorem
• Estimation of statistics of transitions and Hill relation for Langevin dynamics
• Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)
• Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
• Maximum likelihood estimation for Wishart processes
• Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
• Central Limit Theorem for stationary Fleming--Viot particle systems in finite spaces
• Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
• Title not available (Why is that?)
• Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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