Discretization of the ergodic functional central limit theorem
From MaRDI portal
Publication:6091975
DOI10.1007/s10959-023-01237-warXiv1801.05710WikidataQ123166544 ScholiaQ123166544MaRDI QIDQ6091975
Publication date: 21 November 2023
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.05710
Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Continuous-time Markov processes on general state spaces (60J25) Ergodic theory of linear operators (47A35) Transition functions, generators and resolvents (60J35)
Cites Work
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Recursive computation of the invariant distribution of a diffusion
- Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
- Semigroups of linear operators and applications to partial differential equations
- Weak convergence of recursions
- Convergence rate of some semi-groups to their invariant probability
- Weighted multilevel Langevin simulation of invariant measures
- Practical drift conditions for subgeometric rates of convergence.
- Recursive computation of invariant distributions of Feller processes
- Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
- An adaptive scheme for the approximation of dissipative systems
- Nonasymptotic convergence analysis for the unadjusted Langevin algorithm
- Multilevel Richardson-Romberg extrapolation
- Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
- Existence, uniqueness, and regularity of the invariant measure for a class of elliptic degenerate operators.
- Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
- The parabolic differential equations and the associated semigroups of transformation
- Multilevel Monte Carlo Path Simulation
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Sur quelques algorithmes récursifs pour les probabilités numériques
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item