Ergodic approximation of the distribution of a stationary diffusion: rate of convergence

DOI10.1214/11-AAP779zbMath1252.60080arXiv1009.0131OpenAlexW4300846182MaRDI QIDQ433906

Gilles Pagès, Fabien Panloup

Publication date: 8 July 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.0131

zbMATH Keywords

stochastic differential equationcentral limit theoremstationary processEuler discretization schemeergodic diffusionsteady regime

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Monte Carlo methods (65C05) Diffusion processes (60J60) Algorithms for approximation of functions (65D15)

Related Items (12)

Nonasymptotic bounds for sampling algorithms without log-concavity ⋮ Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications ⋮ Discretization of the ergodic functional central limit theorem ⋮ CLT for approximating ergodic limit of SPDEs via a full discretization ⋮ Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients ⋮ Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation ⋮ A mixed-step algorithm for the approximation of the stationary regime of a diffusion ⋮ Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion ⋮ Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics ⋮ Diffusion approximation for fully coupled stochastic differential equations ⋮ Recursive computation of invariant distributions of Feller processes ⋮ New particle representations for ergodic McKean-Vlasov SDEs

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