Approximation of stationary solutions of Gaussian driven stochastic differential equations

DOI10.1016/j.spa.2011.08.001zbMath1228.60076arXiv0912.2889MaRDI QIDQ645594

Serge Cohen, Fabien Panloup

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.2889

zbMATH Keywords

stochastic differential equation; Gaussian process; stationary process; Euler scheme

Mathematics Subject Classification ID

60G15: Gaussian processes

60G10: Stationary stochastic processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

Related Items

Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift, Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise, A general drift estimation procedure for stochastic differential equations with additive fractional noise, Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory, Approximation of stationary solutions to SDEs driven by multiplicative fractional noise

Cites Work

• Approximation of the distribution of a stationary Markov process with application to option pricing
• Recursive computation of the invariant distribution of a diffusion
• Non-Markovian invariant measures are hyperbolic
• Fractional {O}rnstein-{U}hlenbeck processes
• Ergodicity of stochastic differential equations driven by fractional Brownian motion
• An adaptive scheme for the approximation of dissipative systems
• Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item