Browsing by Author "Tretyakov, MV"

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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, JC; 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 ...