An adaptive scheme for the approximation of dissipative systems
نویسندگان
چکیده
منابع مشابه
An adaptive scheme for the approximation of dissipative systems
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, regular explicit Euler scheme –with constant or decreasing step– may explode and implicit Euler scheme 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...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2007
ISSN: 0304-4149
DOI: 10.1016/j.spa.2007.02.004