Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- 1 January 1990
- journal article
- Published by Taylor & Francis in Stochastics and Stochastic Reports
- Vol. 29 (1) , 13-36
- https://doi.org/10.1080/17442509008833606
Abstract
No abstract availableThis publication has 12 references indexed in Scilit:
- Weak Approximation of Solutions of Systems of Stochastic Differential EquationsTheory of Probability and Its Applications, 1986
- An asymptotically efficient difference formula for solving stochastic differential equationsStochastics, 1986
- Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solutionESAIM: Mathematical Modelling and Numerical Analysis, 1986
- Discretization and simulation of stochastic differential equationsActa Applicandae Mathematicae, 1985
- Simulation of diffusions with boundary conditionsSystems & Control Letters, 1984
- Asymptotic analysis of P.D.E.s with wide–band noise disturbances, and expansion of the momentsStochastic Analysis and Applications, 1984
- The existence of moments for stationary Markov chainsJournal of Applied Probability, 1983
- Resolution trajectorielle et analyse numerique des equations differentielles stochastiquesStochastics, 1983
- Numerical Treatment of Stochastic Differential EquationsSIAM Journal on Numerical Analysis, 1982
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state spaceStochastic Processes and their Applications, 1975