On the uniform convergence of the empirical density of an ergodic diffusion (Q5937004)

The author investigates the uniform convergence of the density of the empirical measure of an ergodic diffusion. It is well known that under certain conditions on the drift and diffusion coefficients of the diffusion, the empirical density \(f(t)\) converges in probability to the invariant density \(f\), uniformly on the entire real line. The author shows that under the same conditions, uniform convergence of \(f(t)\) to \(f\) on compact intervals takes place almost surely.