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

DOI10.1016/J.SPA.2019.06.012zbMATH Open1444.60075OpenAlexW2964009828MaRDI QIDQ1986017FDOQ1986017

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

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zbMATH Keywords

diffusion processesinhomogeneous Markov chainsinvariant distributionnon-asymptotic concentration inequalities

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

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• An Iterative Monte Carlo Scheme for Generating Lie Group-Valued Random Variables
• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion

Cited In (5)

• Approximation of the invariant distribution for a class of ergodic jump diffusions
• Uniform concentration inequality for ergodic diffusion processes
• Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
• Title not available (Why is that?)
• Recursive computation of the invariant distribution of a diffusion

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