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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise

Publication ,  Journal Article
Mattingly, JC; Stuart, AM; Higham, DJ
Published in: Stochastic Processes and their Applications
2002

Duke Scholars

Published In

Stochastic Processes and their Applications

DOI

ISSN

0304-4149

Publication Date

2002

Volume

101

Start / End Page

185 / 232

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 4901 Applied mathematics
  • 1502 Banking, Finance and Investment
  • 0104 Statistics
  • 0102 Applied Mathematics
 

Citation

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ICMJE
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Mattingly, J. C., Stuart, A. M., & Higham, D. J. (2002). Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. Stochastic Processes and Their Applications, 101, 185–232. https://doi.org/10.1016/S0304-4149(02)00150-3
Mattingly, J. C., A. M. Stuart, and D. J. Higham. “Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.” Stochastic Processes and Their Applications 101 (2002): 185–232. https://doi.org/10.1016/S0304-4149(02)00150-3.
Mattingly JC, Stuart AM, Higham DJ. Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. Stochastic Processes and their Applications. 2002;101:185–232.
Mattingly, J. C., et al. “Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.” Stochastic Processes and Their Applications, vol. 101, 2002, pp. 185–232. Manual, doi:10.1016/S0304-4149(02)00150-3.
Mattingly JC, Stuart AM, Higham DJ. Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. Stochastic Processes and their Applications. 2002;101:185–232.
Journal cover image

Published In

Stochastic Processes and their Applications

DOI

ISSN

0304-4149

Publication Date

2002

Volume

101

Start / End Page

185 / 232

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 4901 Applied mathematics
  • 1502 Banking, Finance and Investment
  • 0104 Statistics
  • 0102 Applied Mathematics