Behavior of the Euler scheme with decreasing step in a degenerate situation
ESAIM: Probability and Statistics (2007)
- Volume: 11, page 236-247
- ISSN: 1292-8100
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topLemaire, Vincent. "Behavior of the Euler scheme with decreasing step in a degenerate situation." ESAIM: Probability and Statistics 11 (2007): 236-247. <http://eudml.org/doc/250123>.
@article{Lemaire2007,
abstract = {
The aim of this short note is to study the behavior of the weighted empirical measures of the decreasing step Euler scheme of a one-dimensional diffusion process having multiple invariant measures. This situation can occur when the drift and the diffusion coefficient are vanish simultaneously.
},
author = {Lemaire, Vincent},
journal = {ESAIM: Probability and Statistics},
keywords = {One-dimensional diffusion process; degenerate coefficient; invariant measure; Euler scheme.; one-dimensional diffusion process; Euler scheme},
language = {eng},
month = {6},
pages = {236-247},
publisher = {EDP Sciences},
title = {Behavior of the Euler scheme with decreasing step in a degenerate situation},
url = {http://eudml.org/doc/250123},
volume = {11},
year = {2007},
}
TY - JOUR
AU - Lemaire, Vincent
TI - Behavior of the Euler scheme with decreasing step in a degenerate situation
JO - ESAIM: Probability and Statistics
DA - 2007/6//
PB - EDP Sciences
VL - 11
SP - 236
EP - 247
AB -
The aim of this short note is to study the behavior of the weighted empirical measures of the decreasing step Euler scheme of a one-dimensional diffusion process having multiple invariant measures. This situation can occur when the drift and the diffusion coefficient are vanish simultaneously.
LA - eng
KW - One-dimensional diffusion process; degenerate coefficient; invariant measure; Euler scheme.; one-dimensional diffusion process; Euler scheme
UR - http://eudml.org/doc/250123
ER -
References
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