Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme

DOI10.3150/21-BEJ1372zbMATH Open1489.60039arXiv2012.04328OpenAlexW4220671326WikidataQ113701729 ScholiaQ113701729MaRDI QIDQ2137002FDOQ2137002

Yuzhen Tan, Lihu Xu, Jianya Lu

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider a stochastic differential equation and its Euler-Maruyama (EM) scheme, under some appropriate conditions, they both admit a unique invariant measure, denoted by $pi$ and $p{i}_{e}ta$ respectively ($eta$ is the step size of the EM scheme). We construct an empirical measure $P{i}_{e}ta$ of the EM scheme as a statistic of $p{i}_{e}ta$, and use Stein's method developed in citet{FSX19} to prove a central limit theorem of $P{i}_{e}ta$. The proof of the self-normalized Cram'er-type moderate deviation (SNCMD) is based on a standard decomposition on Markov chain, splitting $et{a}^{-1/2}(P{i}_{e}ta(.)-pi(.))$ into a martingale difference series sum $mcl{H}_{e}ta$ and a negligible remainder $mcl{R}_{e}ta$. We handle $mcl{H}_{e}ta$ by the time-change technique for martingale, while prove that $mcl{R}_{e}ta$ is exponentially negligible by concentration inequalities, which have their independent interest. Moreover, we show that SNCMD holds for $x=o(et{a}^{-1/6})$, which has the same order as that of the classical result in citet{shao1999cramer,JSW03}.

Full work available at URL: https://arxiv.org/abs/2012.04328

zbMATH Keywords

central limit theoremstochastic differential equationStein's methodEuler-Maruyama schemeself-normalized Cramér-type moderate deviation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (5)

• Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme
• Cramér-type moderate deviations under local dependence
• Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
• Normalized and self-normalized Cramér-type moderate deviations for the Euler-Maruyama scheme for the SDE
• CLT for approximating ergodic limit of SPDEs via a full discretization

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