Second order discretization schemes of stochastic differential systems for the computation of the invariant law

Denis Talay 1
1 MEFISTO
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : We Discretize in Time With Step-Size h a Stochastic Differential Equation Whose Solution has a Unique Invariant Probability Measure is the Solution of the Discretized System, we Give an Estimate of in Terms of h for Several Discretization Methods. In Particular, Methods Which are of Second Order for the Approximation of in Finite Time are Shown to be Generically of Second Order for the Ergodic Criterion(1).
Type de document :
Rapport
[Research Report] RR-0753, INRIA. 1987, pp.21
Liste complète des métadonnées

https://hal.inria.fr/inria-00075799
Contributeur : Rapport de Recherche Inria <>
Soumis le : mercredi 24 mai 2006 - 19:03:18
Dernière modification le : jeudi 11 janvier 2018 - 16:25:00
Document(s) archivé(s) le : vendredi 13 mai 2011 - 15:20:00

Fichiers

Identifiants

  • HAL Id : inria-00075799, version 1

Collections

Citation

Denis Talay. Second order discretization schemes of stochastic differential systems for the computation of the invariant law. [Research Report] RR-0753, INRIA. 1987, pp.21. 〈inria-00075799〉

Partager

Métriques

Consultations de la notice

151

Téléchargements de fichiers

138