Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation

DOI10.1214/13-AIHP591zbMath1329.60281arXiv1302.1651MaRDI QIDQ902882

Gilles Pagès, Vincent Lemaire, Fabien Panloup

Publication date: 4 January 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.1651

zbMATH Keywords

invariant measurecentral limit theoremgradient systemRichardson-Romberg extrapolationconfluenceLyapunov exponenthypoellipticityEuler schemeoptimal transportasymptotic flatnessergodic diffusionBrownian path

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Variational problems in a geometric measure-theoretic setting (49Q20) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Synchronization by noise ⋮ Weighted multilevel Langevin simulation of invariant measures ⋮ Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation ⋮ Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion ⋮ Constructing Sampling Schemes via Coupling: Markov Semigroups and Optimal Transport

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