A probability approximation framework: Markov process approach

DOI10.1214/22-aap1853zbMath1521.60039arXiv2011.10985OpenAlexW4353080718MaRDI QIDQ6104007

Lihu Xu, Qui-Man Shao, Peng Chen

Publication date: 5 June 2023

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

Full work available at URL: https://arxiv.org/abs/2011.10985

zbMATH Keywords

stochastic differential equationMarkov processnormal approximationstable processItô's formulaEuler-Maruyama discretizationprobability approximationWasserstein-1 distanceonline stochastic gradient descent

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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