Concepedia

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

Jonathan C. Mattingly, Andrew M. Stuart, Desmond J. Higham

Stochastic Processes and their Applications · 2002 · 561 citations · 25 references

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References

25

Stochastic differential equations and applications

Gian‐Carlo Rota · Advances in Mathematics · 1977 · 1.2K citations

, , +11

The Lorenz Equations: Bifurcations, Chaos, and Strange Attractors.

John Guckenheimer, Colin Sparrow · American Mathematical Monthly · 1984 · 1.2K citations

, , +17

Exponential Convergence of Langevin Distributions and Their Discrete Approximations

Gareth O. Roberts, Richard L. Tweedie · Bernoulli · 1996 · 1K citations

, , +17

Optimal Scaling of Discrete Approximations to Langevin Diffusions

Gareth O. Roberts, Jeffrey S. Rosenthal · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1998 · 648 citations

, , +16

Dynamical Systems And Numerical Analysis

IEEE Computational Science and Engineering · 1997 · 513 citations

, , +14