Ergodic approximation of the distribution of a stationary diffusion: rate of convergence (Q433906): Difference between revisions
From MaRDI portal
Revision as of 10:17, 5 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Ergodic approximation of the distribution of a stationary diffusion: rate of convergence |
scientific article |
Statements
Ergodic approximation of the distribution of a stationary diffusion: rate of convergence (English)
0 references
8 July 2012
0 references
The authors consider a class of Brownian ergodic diffusion processes with unique invariant distribution, drift and variance which are Lipschitz continuous functions. They study the rate of convergence to the distribution of this process, when stationary, of some weighted measures based on both the true paths and the Euler discretization scheme with decreasing step. The central limit theorems are formally established for the marginal empirical measure of these processes. The obtained results are illustrated by simulations in connection with barrier option pricing.
0 references
stochastic differential equation
0 references
stationary process
0 references
steady regime
0 references
ergodic diffusion
0 references
central limit theorem
0 references
Euler discretization scheme
0 references
0 references
0 references
0 references
0 references
0 references
0 references