A Perturbation Theory for Ergodic Markov Chains and Application to Numerical Approximations - Shardlow, T.; Stuart, A. M. (SIAM journal on numerical analysis, 2000)
Keywords: Applied mathematics; Approximation; Banach spaces; Computational mathematics; Differential equations; Ergodic theory; Exact sciences and technology; Integers; Markov analysis; Markov chains; Markov processes; Mathematical analysis; Mathematics; Methods of scientific computing (including symbolic computation, algebraic computation); Noise; Numerical analysis; Numerical analysis. Scientific computation; Numerical methods; Ordinary differential equations; Perturbation theory; Probability and statistics; Probability theory and stochastic processes; Random variables; Sciences and techniques of general use; Spacetime; Stochastic analysis; Markov process; Ergodic theory; Brownian noise; Exponential distribution; Differential equation; Stochastic partial differential equation; Perturbation; Euler scheme; Partial differential equation; Truncation error; Numerical approximation; Markov chain; Brownian motion; Parabolic equation; Sigma algebra; Impulse; Stochastic equation; Stochastic differential equation