Behavior of the Euler scheme with decreasing step in a degenerate situation
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Publication:5429601
DOI10.1051/ps:2007018zbMath1181.60086arXivmath/0604021MaRDI QIDQ5429601
Publication date: 30 November 2007
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0604021
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
37M25: Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.)
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Cites Work
- Recursive computation of the invariant distribution of a diffusion
- The parabolic differential equations and the associated semigroups of transformation
- Sur quelques algorithmes récursifs pour les probabilités numériques
- Diffusion Processes in One Dimension
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