Approximation of Markov semigroups in total variation distance

DOI10.1214/16-EJP4079zbMATH Open1338.60097MaRDI QIDQ287701FDOQ287701

Authors: Vlad Bally, Clément Rey 

Publication date: 23 May 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejp/1455717196

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zbMATH Keywords

Malliavin calculusMarkov processesapproximation schemesinvariance principlestotal variation distance

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Stochastic calculus of variations and the Malliavin calculus (60H07) Functional limit theorems; invariance principles (60F17)

Cited In (12)

• The Girsanov Theorem Without (So Much) Stochastic Analysis
• Total variation distance between stochastic polynomials and invariance principles
• Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model
• A generic construction for high order approximation schemes of semigroups using random grids
• Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise
• An asymptotic radius of convergence for the Loewner equation and simulation of \(\mathrm{SLE}_{\kappa}\) traces via splitting
• Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations
• Small time chaos approximations for heat kernels of multidimensional diffusions
• Approximation of Markov Processes by Lower Dimensional Processes via Total Variation Metrics
• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations

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