Ergodic approximation of the distribution of a stationary diffusion: rate of convergence

DOI10.1214/11-AAP779zbMATH Open1252.60080arXiv1009.0131OpenAlexW4300846182MaRDI QIDQ433906FDOQ433906

Gilles Pagès, Fabien Panloup

Publication date: 8 July 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1009.0131

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zbMATH Keywords

central limit theoremstochastic differential equationstationary processEuler discretization schemeergodic diffusionsteady regime

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stationary stochastic processes (60G10) Algorithms for approximation of functions (65D15)

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Cited In (23)

• Explicit approximation of invariant measure for stochastic delay differential equations with the nonlinear diffusion term
• Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients
• Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
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• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• Diffusion approximation for fully coupled stochastic differential equations
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• Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation
• Convergence of a particle approximation for the quasi-stationary distribution of a diffusion process: Uniform estimates in a compact soft case
• Rates of convergence to the stationary distribution for k-dimensional diffusion processes
• Nonasymptotic bounds for sampling algorithms without log-concavity
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• Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
• CLT for approximating ergodic limit of SPDEs via a full discretization
• New particle representations for ergodic McKean-Vlasov SDEs

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