Communication structure of discretized degenerate diffusion processes and approximation of Lyapunov exponents

DOI10.1515/MCMA.2001.7.3-4.411zbMath0993.65017OpenAlexW2060138585MaRDI QIDQ2732339

Volker Wihstutz

Publication date: 23 July 2001

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2001.7.3-4.411

zbMATH Keywords

Monte Carlo methoddegenerate diffusionLyapunov exponentEuler schemesweakly nondegenerate diffusion processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

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