Back to Search
Start Over
Numerical methods for Stochastic differential equations: two examples.
- Source :
-
ESAIM: Proceedings & Surveys . Oct2018, Vol. 64, p65-77. 13p. - Publication Year :
- 2018
-
Abstract
- The goal of this paper is to present a series of recent contributions arising in numerical probability. First we present a contribution to a recently introduced problem: stochastic differential equations with constraints in law, investigated through various theoretical and numerical viewpoints. Such a problem may appear as an extension of the famous Skorokhod problem. Then a generic method to approximate in a weak way the invariant distribution of an ergodic Feller process by a Langevin Monte Carlo simulation. It is an extension of a method originally developed for diffusions and based on the weighted empirical measure of an Euler scheme with decreasing step. Finally, we mention without details a recent development of a multilevel Langevin Monte Carlo simulation method for this type of problem. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 22673059
- Volume :
- 64
- Database :
- Academic Search Index
- Journal :
- ESAIM: Proceedings & Surveys
- Publication Type :
- Conference
- Accession number :
- 133120206