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Behavior of the Euler scheme with decreasing stepin a degenerate situation
Published online by Cambridge University Press: 19 June 2007
Abstract
The aim of this short note is to study the behavior of the weighted empirical measures of the decreasing step Euler scheme of a one-dimensional diffusion process having multiple invariant measures. This situation can occur when the drift and the diffusion coefficient are vanish simultaneously.
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- © EDP Sciences, SMAI, 2007
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