Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
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Publication:433906
DOI10.1214/11-AAP779zbMath1252.60080arXiv1009.0131MaRDI QIDQ433906
Publication date: 8 July 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.0131
stochastic differential equation; central limit theorem; stationary process; Euler discretization scheme; ergodic diffusion; steady regime
60F05: Central limit and other weak theorems
60G10: Stationary stochastic processes
65C05: Monte Carlo methods
60J60: Diffusion processes
65D15: Algorithms for approximation of functions
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