Approximation of the invariant distribution for a class of ergodic jump diffusions

DOI10.1051/PS/2020023MaRDI QIDQ5140347zbMATH OpenOpenAlexWikidataFDO

Authors Arnaud Gloter, Igor Honoré, Dasha Loukianova

Publication date 15 December 2020

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/ps/2020023

zbMATH Keywords

diffusion processesinhomogeneous Markov chainsinvariant distributionjump processesnon-asymptotic Gaussian concentration

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Processes with independent increments; Lévy processes (60G51) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• Analysis and geometry of Markov diffusion operators
• Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
• Concentration bounds for stochastic approximations
• Concentration inequalities for Euler schemes
• Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
• Expansion of the global error for numerical schemes solving stochastic differential equations
• scientific article; zbMATH DE number 1851000 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• Pathwise uniqueness for singular SDEs driven by stable processes
• Realized jumps on financial markets and predicting credit spreads
• Recursive computation of the invariant distribution of a diffusion
• Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
• Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion

Cited in

(11)

• Invariant measure for diffusions with jumps
• Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion
• Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications
• Stationary Distributions for Jump Processes with Inert Drift
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• Asymptotics of the Invariant Measure in Mean Field Models with Jumps
• Invariant Measures and Euler--Maruyama's Approximations of State-Dependent Regime-Switching Diffusions
• Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes
• Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)

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