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.
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Cited in
(28)- Gradual convergence for Langevin dynamics on a degenerate potential
- Explicit approximation of invariant measure for stochastic delay differential equations with the nonlinear diffusion term
- Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
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