Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme

DOI10.3150/21-BEJ1372zbMath1489.60039arXiv2012.04328OpenAlexW4220671326WikidataQ113701729 ScholiaQ113701729MaRDI QIDQ2137002

Yuzhen Tan, Lihu Xu, Jianya Lu

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.04328

zbMATH Keywords

stochastic differential equationStein's methodcentral limit theoremEuler-Maruyama schemeself-normalized Cramér-type moderate deviation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme, Cramér-type moderate deviations under local dependence, CLT for approximating ergodic limit of SPDEs via a full discretization, Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme

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