کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156591 | 958846 | 2007 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An adaptive scheme for the approximation of dissipative systems
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: An adaptive scheme for the approximation of dissipative systems An adaptive scheme for the approximation of dissipative systems](/preview/png/1156591.png)
چکیده انگلیسی
We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, a regular explicit Euler scheme–with constant or decreasing step–may explode and implicit Euler schemes are CPU-time expensive. The algorithm we introduce is explicit and we prove that any weak limit of the weighted empirical measures of this scheme is a stationary distribution of the stochastic differential equation. Several examples are presented including gradient dissipative systems and Hamiltonian dissipative systems.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 117, Issue 10, October 2007, Pages 1491–1518
Journal: Stochastic Processes and their Applications - Volume 117, Issue 10, October 2007, Pages 1491–1518
نویسندگان
Vincent Lemaire,