Invariance principles with logarithmic averaging for ergodic simulations

MaRDI QIDQ5482355zbMATH OpenFDO

Authors O. Bardou

Publication date 28 August 2006

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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