The Annals of Applied Probability, Vol. 25, No. 4 (August 2015), pp. 2301-2338 (38 pages) We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton–Jacobi–Bellman (HJB) ...
A discrete-time approximation scheme called local linearization of the Langevin diffusion on Rk is considered, with emphasis on the ergodic properties of the approximation considered as a ...
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