The non-locality of Markov chain approximations to two-dimensional diffusions.
Christoph ReisingerPublished in: Math. Comput. Simul. (2018)
Keyphrases
- markov chain
- steady state
- finite state
- monte carlo
- random walk
- transition probabilities
- monte carlo method
- stationary distribution
- stochastic process
- markov process
- markov model
- transition matrix
- markov chain monte carlo
- monte carlo simulation
- anisotropic diffusion
- state space
- confidence intervals
- reinforcement learning
- least squares
- probabilistic model