Geodesic
Behavior of the Euler scheme with decreasing step in a degenerate situation
ESAIM: Probability and Statistics, Tome 11 (2007), pp. 236-247 Cet article a éte moissonné depuis la source Numdam

Voir la notice de l'article

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.

DOI : 10.1051/ps:2007018
Classification : 60H10, 65C30, 37M25
Keywords: one-dimensional diffusion process, degenerate coefficient, invariant measure, Euler scheme 
@article{PS_2007__11__236_0,
     author = {Lemaire, Vincent},
     title = {Behavior of the {Euler} scheme with decreasing step in a degenerate situation},
     journal = {ESAIM: Probability and Statistics},
     pages = {236--247},
     year = {2007},
     publisher = {EDP-Sciences},
     volume = {11},
     doi = {10.1051/ps:2007018},
     mrnumber = {2320818},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps:2007018/}
}
TY  - JOUR
AU  - Lemaire, Vincent
TI  - Behavior of the Euler scheme with decreasing step in a degenerate situation
JO  - ESAIM: Probability and Statistics
PY  - 2007
SP  - 236
EP  - 247
VL  - 11
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/ps:2007018/
DO  - 10.1051/ps:2007018
LA  - en
ID  - PS_2007__11__236_0
ER  - 
%0 Journal Article
%A Lemaire, Vincent
%T Behavior of the Euler scheme with decreasing step in a degenerate situation
%J ESAIM: Probability and Statistics
%D 2007
%P 236-247
%V 11
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/ps:2007018/
%R 10.1051/ps:2007018
%G en
%F PS_2007__11__236_0
Lemaire, Vincent. Behavior of the Euler scheme with decreasing step in a degenerate situation. ESAIM: Probability and Statistics, Tome 11 (2007), pp. 236-247. doi: 10.1051/ps:2007018

Cité par Sources :