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

DOI10.1016/J.SPA.2020.10.009MaRDI QIDQ1994909zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 18 February 2021

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

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

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)

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.

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Cited in

(4)

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

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