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

DOI10.1016/J.SPA.2019.06.012MaRDI QIDQ1986017zbMATH OpenOpenAlexFDO

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)

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• Weak convergence of recursions

Cited in

(9)

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

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