Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics

DOI10.1016/J.SPA.2020.10.009zbMATH Open1469.60075arXiv1805.06388OpenAlexW3104123233WikidataQ114130777 ScholiaQ114130777MaRDI QIDQ1994909FDOQ1994909

Authors: Yanyan Li 

Publication date: 18 February 2021

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

Abstract: The paper considers an Euler discretization based numerical scheme for approximating functionals of invariant distribution of an ergodic diffusion. Convergence of the numerical scheme is shown for suitably chosen discretization step, and a thorough error analysis is conducted by proving central limit theorem and moderate deviation principle for the error term. The paper is a first step in understanding efficiency of discretization based numerical schemes for estimating invariant distributions, which is comparatively much less studied than the schemes used for generating approximate trajectories of diffusions over finite time intervals. The potential applications of these results also extend to other areas including mathematical physics, parameter inference of ergodic diffusions and analysis of multiscale dynamical systems with averaging.

Full work available at URL: https://arxiv.org/abs/1805.06388

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zbMATH Keywords

central limit theoremEuler approximationstochastic algorithmsergodic diffusionslarge and moderate deviationsestimation of invariant distributions

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (4)

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• Rate of homogenization for fully-coupled McKean–Vlasov SDEs
• Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics
• Large deviations for interacting multiscale particle systems

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