A connection between extreme value theory and long time approximation of SDEs

DOI10.1016/j.spa.2009.05.011zbMath1175.60071arXiv0811.2052OpenAlexW2100881679MaRDI QIDQ734653

Fabien Panloup

Publication date: 13 October 2009

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

Full work available at URL: https://arxiv.org/abs/0811.2052

zbMATH Keywords

stochastic differential equationEuler schemejump processextreme valueinvariant distribution

Mathematics Subject Classification ID

Cites Work

• On almost sure max-limit theorems
• Recursive computation of the invariant distribution of a diffusion
• Extremes and related properties of random sequences and processes
• Weak convergence to extremal processes
• Weak convergence of recursions
• 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
• Sur la distribution limite du terme maximum d'une série aléatoire
• RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
• On Extreme Order Statistics
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