Invariant density estimation for a reflected diffusion using an Euler scheme
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Publication:2628125
DOI10.1515/mcma-2017-0104zbMath1370.60132OpenAlexW2606786454MaRDI QIDQ2628125
Patrick Cattiaux, Clémentine Prieur, José Rafael León
Publication date: 12 June 2017
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/hal-01683980/file/MCMA.2016.0008.pdf
invariant measureconvergence ratediscrete approximationEuler schemeergodic reflected diffusion process
Nonparametric estimation (62G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ergodicity, mixing, rates of mixing (37A25) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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