Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Recursive computation of the invariant distribution of a diffusion : the case of a weakly mean reverting drift

Auteur(s):

Code(s) de Classification MSC:

Résumé: We study a recursive procedure, based on the Euler scheme with decreasing step, for the computation of the invariant distribution of a Brownian diffusion process satisfying weak stability conditions. We are able to extend some of the results of[4] to diffusions for which the drift size at infinity is very small.

Mots Clés: Stochastic differential equation ; diffusion ; invariant distribution ; Euler scheme

Date: 2003-02-27

Prépublication numéro: PMA-800

Front pages :