Now showing items 1-3 of 3

    • Convergence of numerical time-averaging and stationary measures via Poisson equations 

      Mattingly, Jonathan Christopher; Stuart, AM; Tretyakov, MV (SIAM Journal on Numerical Analysis, 2010-07-07)
      Numerical approximation of the long time behavior of a stochastic di.erential equation (SDE) is considered. Error estimates for time-averaging estimators are obtained and then used to show that the stationary behavior of ...
    • Convergence of numerical time-averaging and stationary measures via Poisson equations 

      Mattingly, Jonathan Christopher; Stuart, AM; Tretyakov, MV (SIAM Journal on Numerical Analysis, 2010-07-07)
      Numerical approximation of the long time behavior of a stochastic di.erential equation (SDE) is considered. Error estimates for time-averaging estimators are obtained and then used to show that the stationary behavior of ...
    • Diffusion limits of the random walk metropolis algorithm in high dimensions 

      Mattingly, Jonathan Christopher; Pillai, NS; Stuart, AM (Annals of Applied Probability, 2012-06-01)
      Diffusion limits of MCMC methods in high dimensions provide a useful theoretical tool for studying computational complexity. In particular, they lead directly to precise estimates of the number of steps required to explore ...