Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients.
Berkaoui, A. (2004)
Portugaliae Mathematica. Nova Série
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Displaying similar documents to “A stochastic scheme of approximation for ordinary differential equations.”
Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients.
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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.
Stochastic approximations in the presence of trend
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