Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion

DOI10.1016/J.SPA.2019.06.012MaRDI QIDQ1986017zbMATHOpenAlexFDO

Authors Igor Honoré

Publication date 7 April 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2019.06.012

zbMATH Keywords

diffusion processesinhomogeneous Markov chainsinvariant distributionnon-asymptotic concentration inequalities

Mathematics Subject Classification ID

Diffusion processes (60J60)

Recommendations

• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• Approximation of the invariant distribution for a class of ergodic jump diffusions
• Uniform concentration inequality for ergodic diffusion processes
• Concentration of scalar ergodic diffusions and some statistical implications
• Uniform concentration inequality for ergodic diffusion processes observed at discrete times

Cites work

• scientific article; zbMATH DE number 3613934 (Why is no real title available?)
• scientific article; zbMATH DE number 1851000 (Why is no real title available?)
• scientific article; zbMATH DE number 1405932 (Why is no real title available?)
• scientific article; zbMATH DE number 3894218 (Why is no real title available?)
• An Iterative Monte Carlo Scheme for Generating Lie Group-Valued Random Variables
• Analysis and geometry of Markov diffusion operators
• Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
• Concentration bounds for stochastic approximations
• Concentration inequalities for Euler schemes
• Concentration of measure on product spaces with applications to Markov processes
• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• On the Poisson equation and diffusion approximation. I
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• On the mean speed of convergence of empirical and occupation measures in Wasserstein distance
• Recursive computation of the invariant distribution of a diffusion
• Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
• Simple bounds for the convergence of empirical and occupation measures in 1-Wasserstein distance
• Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
• Subgaussian concentration inequalities for geometrically ergodic Markov chains
• Weak convergence of recursions

Cited in

(9)

• Recursive computation of the invariant distribution of a diffusion
• Approximation of the invariant distribution for a class of ergodic jump diffusions
• scientific article; zbMATH DE number 4166241 (Why is no real title available?)
• Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
• Uniform concentration inequality for ergodic diffusion processes
• Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
• Uniform concentration inequality for ergodic diffusion processes observed at discrete times
• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• Concentration of scalar ergodic diffusions and some statistical implications

This page was built for publication: Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1986017)