A multiflow approximation to diffusions
The author introduces a new form of approximation to diffusions represented as solutions of stochastic differential equations. In the various forms of approximations, one solves a sequence of ordinary differential equations which are derived by substituting, in place of Brownian path, a piecewise differentiable approximation corresponding to a given partition. Then for a given fixed partition, one must solve a new set of differential equations for each Brownian path. To overcome this difficulty, author introduces the so-called multiflow approximation. Here, the approximants are generated by products of the flows of the vector fields defining the stochastic differential equation. Under certain smoothness conditions, it is proved that the approximants converge to a diffusion as the mesh-size of the partitions go to zero. For time independent vector fields on a manifold, the approximants are considered as homogeneous Markov chains, and it is shown that the invariant probability measures of a sequence of approximating Markov chains converge weakly to an invariant probability measure of a diffusion.
- Ikeda-Nakao-Yamato-type approximations
- Geometric ergodicity of discrete-time approximations to multivariate diffusions
- Approximation theorems based on random partitions for stochastic differential equation and their applications
- Markov chain approximations to symmetric diffusions
- Markov chain approximations for one dimensional diffusions
- Ergodic properties of markov processes driven by a set of vector fields
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- Orbits of Families of Vector Fields and Integrability of Distributions
- Finite dimensional approximations to Wiener measure and path integral formulas on manifolds
- Geometric ergodicity of discrete-time approximations to multivariate diffusions
- Jump-diffusion Markov processes on orthogonal groups for object pose estimation
- Tensor approximation of generalized correlated diffusions and functional copula operators
- Chirikov and Nekhoroshev diffusion estimates: bridging the two sides of the river
- Numerical approximation of diffusions in \(\mathbb {R}^d\) using normal charts of a Riemannian manifold
- Rough path recursions and diffusion approximations
- Small time chaos approximations for heat kernels of multidimensional diffusions
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- Convergence implications via dual flow method
- Stochastic approximation finite element method: analytical formulas for multidimensional diffusion process
- Approach to equilibrium of particles diffusing on curved surfaces
- Ikeda-Nakao-Yamato-type approximations
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