Communication structure of discretized degenerate diffusion processes and approximation of Lyapunov exponents (Q2732339)
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scientific article; zbMATH DE number 1623594
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Communication structure of discretized degenerate diffusion processes and approximation of Lyapunov exponents |
scientific article; zbMATH DE number 1623594 |
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Communication structure of discretized degenerate diffusion processes and approximation of Lyapunov exponents (English)
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23 July 2001
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Monte Carlo method
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degenerate diffusion
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Euler schemes
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weakly nondegenerate diffusion processes
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Lyapunov exponent
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The paper considers Euler schemes for weakly nondegenerate diffusion processes. It studies the properties that the approximation inherits from the original process. These properties are used to approximate the largest Lyapunov exponent associated with the original diffusion.
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