Thursday, August 23, 2018 - 14:00 in ZiF
Ergodicity of continuous time Markov processes with applications to SDEs and Monte Carlo simulations
A talk in the Keine Reihe series by
Iulian Cimpean from Romanian Academy, Bucharest
| Abstract: |
We aim to discuss several results concerning (sub)geometric rates of convergence
for continuous time Markov processes towards their equilibrium distributions,
mainly via Lyapunov functions and small sets. We shall present some examples arising
from SDEs, with special attention for the Langevin equation and its applications to
Monte Carlo simulation.
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