RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT

'Laboratoire d'Analyse et de Mathematiques Appliquees, UMR 8050, Universite de Marne-laVallee, Cite Descartes, 5 boulevard Descartes, Champs-sur-Marne, F-77454 Marne-la-Vallee Cedex 2, France. E-mail: dlamb@math.univ-mlv.fr 2Laboratoire de Probabilites et Modcles Aleatoires, UMR 7599, Universite Pierre et Marie Curie, case 188, 4 place Jussieu, F-75252 Paris Cedex 05, France. E-mail: gpa@ccr.jussieu.fr

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