Recursive computation of the invariant distribution of a diffusion
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Publication:701663
zbMATH Open1006.60074MaRDI QIDQ701663FDOQ701663
Authors: Damien Lamberton, Gilles Pagès 
Publication date: 13 March 2003
Published in: Bernoulli (Search for Journal in Brave)
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rate of convergencediffusionalmost sure central limit theoremstochastic algorithminvariant distribution
Central limit and other weak theorems (60F05) Diffusion processes (60J60) Strong limit theorems (60F15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cited In (47)
- Variable-step Euler-Maruyama approximations of regime-switching jump diffusion processes
- Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion
- Behavior of the Euler scheme with decreasing step in a degenerate situation
- 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
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Approximation of the invariant distribution for a class of ergodic jump diffusions
- Numerical methods for Stochastic differential equations: two examples
- Convergence of Langevin-simulated annealing algorithms with multiplicative noise. II: Total variation
- Variance reduction for additive functionals of Markov chains via martingale representations
- Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
- Recursive computation of invariant distributions of Feller processes
- Swing contract pricing: with and without neural networks
- Computation of sensitivities for the invariant measure of a parameter dependent diffusion
- Towards a general construction of recursive MDS diffusion layers
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
- Weighted multilevel Langevin simulation of invariant measures
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Sur quelques algorithmes récursifs pour les probabilités numériques
- Discretization of the ergodic functional central limit theorem
- Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)
- A connection between extreme value theory and long time approximation of SDEs
- Optimal convergence rates for the invariant density estimation of jump-diffusion processes
- Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
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- A decreasing step method for strongly oscillating stochastic models
- Computation of the invariant measure for a Lévy driven SDE: Rate of convergence
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- A mixed-step algorithm for the approximation of the stationary regime of a diffusion
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
- Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation
- Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
- Empirical approximation to invariant measures for McKean-Vlasov processes: mean-field interaction vs self-interaction
- Nonasymptotic bounds for sampling algorithms without log-concavity
- Smoothing unadjusted Langevin algorithms for nonsmooth composite potential functions
- An adaptive scheme for the approximation of dissipative systems
- Approximation of stationary solutions of Gaussian driven stochastic differential equations
- Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
- Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
- Invariance principles with logarithmic averaging for ergodic simulations
- On sampling from a log-concave density using kinetic Langevin diffusions
- New particle representations for ergodic McKean-Vlasov SDEs
- High-dimensional Bayesian inference via the unadjusted Langevin algorithm
- Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
- (Non)-penalized multilevel methods for non-uniformly log-concave distributions
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