Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156591 | Stochastic Processes and their Applications | 2007 | 28 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Vincent Lemaire,