A decreasing step method for strongly oscillating stochastic models
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Publication:2341638
DOI10.1214/14-AAP1016zbMath1316.60111arXiv1210.2087MaRDI QIDQ2341638
Publication date: 27 April 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.2087
stochastic approximationergodicitylimit distributionEuler schememulti-scale systemstrongly oscillating SDE
Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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