A Numerical Scheme for Invariant Distributions of Constrained Diffusions

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DOI10.1287/moor.2013.0599zbMath1307.65008arXiv1205.5083OpenAlexW2165471239MaRDI QIDQ5169701

Jiang Chen, Sylvain Rubenthaler, Amarjit Budhiraja

Publication date: 11 July 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.5083

zbMATH Keywords

stochastic differential equation convergence consistency invariant measures Monte Carlo simulation stochastic algorithms stochastic networks reflected diffusion Skorohod problem heavy traffic theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Queueing theory (aspects of probability theory) (60K25) Combinatorial probability (60C05) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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