Approximation of stationary solutions of Gaussian driven stochastic differential equations

DOI10.1016/j.spa.2011.08.001zbMath1228.60076arXiv0912.2889OpenAlexW2024090195MaRDI QIDQ645594

Serge Cohen, Fabien Panloup

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.2889

zbMATH Keywords

stochastic differential equationGaussian processstationary processEuler scheme

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (6)

Approximation of stationary solutions to SDEs driven by multiplicative fractional noise ⋮ A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise ⋮ Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications ⋮ Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory ⋮ Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift

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