Invariance principles with logarithmic averaging for ergodic simulations

zbMATH Open1119.60021MaRDI QIDQ5482355FDOQ5482355

Authors: O. Bardou 

Publication date: 28 August 2006

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zbMATH Keywords

asymptotic variancealmost sure central limit theoremFokker-Planck equationinvariant measureMonte Carlo methodGaussian diffusionergodic simulations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random dynamical systems (37H99)

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