Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
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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.
The authors consider a class of Brownian ergodic diffusion processes with unique invariant distribution, drift and variance which are Lipschitz continuous functions. They study the rate of convergence to the distribution of this process, when stationary, of some weighted measures based on both the true paths and the Euler discretization scheme with decreasing step. The central limit theorems are formally established for the marginal empirical measure of these processes. The obtained results are illustrated by simulations in connection with barrier option pricing.
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