A mixed-step algorithm for the approximation of the stationary regime of a diffusion
Year of publication: |
2014
|
---|---|
Authors: | Pagès, Gilles ; Panloup, Fabien |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 1, p. 522-565
|
Publisher: |
Elsevier |
Subject: | Stochastic differential equation | Stationary process | Steady regime | Ergodic diffusion | Central Limit Theorem | Euler scheme | Poisson equation | Richardson–Romberg extrapolation |
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