Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
From MaRDI portal
(Redirected from Publication:433906)
Abstract: We extend to Lipschitz continuous functionals either of the true paths or of the Euler scheme with decreasing step of a wide class of Brownian ergodic diffusions, the Central Limit Theorems formally established for their marginal empirical measure of these processes (which is classical for the diffusions and more recent as concerns their discretization schemes). We illustrate our results by simulations in connection with barrier option pricing.
Recommendations
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion
- Rate of Convergence of the Euler Approximation for Diffusion Processes
- Efficiency of the empirical distribution for ergodic diffusion
- Stationary distribution function estimation for ergodic diffusion process
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An adaptive scheme for the approximation of dissipative systems
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- scientific article; zbMATH DE number 3883346 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 699438 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Linear and quasilinear elliptic equations
- On Poisson equation and diffusion approximation. II.
- On the discretization schemes for the CIR (and Bessel squared) processes
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- On the Poisson equation and diffusion approximation. I
- On the Poisson equation and diffusion approximation. III
- Recursive computation of the invariant distribution of a diffusion
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- Stability in distribution for a class of singular diffusions
Cited in
(28)- Geometric ergodicity of discrete-time approximations to multivariate diffusions
- Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
- Diffusion approximation for fully coupled stochastic differential equations
- Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
- Recursive computation of invariant distributions of Feller processes
- Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
- A mixed-step algorithm for the approximation of the stationary regime of a diffusion
- Approximation of quantiles of components of diffusion processes.
- Nonasymptotic bounds for sampling algorithms without log-concavity
- CLT for approximating ergodic limit of SPDEs via a full discretization
- Rates of convergence to the stationary distribution for k-dimensional diffusion processes
- scientific article; zbMATH DE number 4032733 (Why is no real title available?)
- On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators
- On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
- New particle representations for ergodic McKean-Vlasov SDEs
- Convergence of a particle approximation for the quasi-stationary distribution of a diffusion process: Uniform estimates in a compact soft case
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Discretization of the ergodic functional central limit theorem
- Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients
- Speed of convergence to the Perron-Frobenius stationary distribution
- Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation
- Explicit approximation of invariant measure for stochastic delay differential equations with the nonlinear diffusion term
- On numerical discretizations that preserve probabilistic limit behaviors for time-homogeneous Markov processes
- Limit theorems for SDEs with irregular drifts
- Gradual convergence for Langevin dynamics on a degenerate potential
- Central limit theorem for temporal average of backward Euler-Maruyama method
- Asymptotic statistical equivalence for scalar ergodic diffusions
- On mixing rate and convergence to stationary regime in discrete time Erlang problem
This page was built for publication: Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q433906)
