Sur quelques algorithmes récursifs pour les probabilités numériques

DOI10.1051/ps:2001106zbMath0998.60073OpenAlexW1965998002MaRDI QIDQ4534847

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

zbMATH Keywords

stabilitydiffusionergodicityMarkov processEuler schemeempirical measurestochastic algorithmODE method

Mathematics Subject Classification ID

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

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