Timeline for Invariant measure of Euler-Maruyama Discretisation of an Ito diffusion
Current License: CC BY-SA 3.0
13 events
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| Jul 3, 2023 at 20:59 | comment | added | Nawaf Bou-Rabee | Obviously not: it is only Gaussian in the additive Ornstein-Uhlenbeck case. | |
| Jul 3, 2023 at 19:24 | comment | added | 0xbadf00d | @NawafBou-Rabee Thank you for the reference; I will take a look. My idea was: If $\mu^h$ has an invariant measure, shouldn't it be a Gaussian distribution as well? In that case, it would suffice to determine mean and variance. I've asked for that and explained it further here: math.stackexchange.com/q/4728844/47771. Maybe you can take a look. | |
| Jul 3, 2023 at 15:35 | comment | added | Nawaf Bou-Rabee | @0xbadf00d in general, there is no explicit formula for $\mu^h$; see, e.g., arxiv.org/abs/2108.00682 for a well-written and authoritative account of the state-of-the-art | |
| Jul 1, 2023 at 14:08 | comment | added | 0xbadf00d | Old question, I know, but instead of the relation between $\mu$ and $\mu^h$, I am more interested in a formula for $\mu^h$. We can give such a formula for $\mu$ by considering the adjoint of the generator of the diffusion applied to the density of $\mu$. But I don‘t know how to deal with $\mu^h$. | |
| Mar 9, 2015 at 15:33 | comment | added | Sam Livingstone | Thanks, this is just what I was looking for. Very much appreciate it! | |
| Mar 9, 2015 at 15:32 | vote | accept | Sam Livingstone | ||
| Mar 8, 2015 at 19:19 | history | edited | Nawaf Bou-Rabee | CC BY-SA 3.0 |
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| Mar 8, 2015 at 17:21 | history | edited | Nawaf Bou-Rabee | CC BY-SA 3.0 |
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| Mar 8, 2015 at 14:55 | history | edited | Nawaf Bou-Rabee | CC BY-SA 3.0 |
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| Mar 8, 2015 at 14:41 | review | Late answers | |||
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| Mar 8, 2015 at 14:38 | history | edited | Nawaf Bou-Rabee | CC BY-SA 3.0 |
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| Mar 8, 2015 at 14:26 | review | First posts | |||
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| Mar 8, 2015 at 14:25 | history | answered | Nawaf Bou-Rabee | CC BY-SA 3.0 |