A mixed-step algorithm for the approximation of the stationary regime of a diffusion
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DOI: 10.1016/j.spa.2013.07.011
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References listed on IDEAS
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Cited by:
- Ganguly, Arnab & Sundar, P., 2021. "Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: Central limit theorem and moderate deviation asymptotics," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 74-110.
- Gadat, Sébastien & Panloup, Fabien & Pellegrini, C., 2020. "On the cost of Bayesian posterior mean strategy for log-concave models," TSE Working Papers 20-1155, Toulouse School of Economics (TSE), revised Feb 2022.
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Keywords
Stochastic differential equation; Stationary process; Steady regime; Ergodic diffusion; Central Limit Theorem; Euler scheme; Poisson equation; Richardson–Romberg extrapolation;All these keywords.
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