A connection between extreme value theory and long time approximation of SDEs

DOI10.1016/J.SPA.2009.05.011MaRDI QIDQ734653zbMATHOpenAlexFDO

Authors Fabien Panloup

Publication date 13 October 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.2052

zbMATH Keywords

stochastic differential equationEuler schemeextreme valuejump processinvariant distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Algorithms for approximation of functions (65D15)

Abstract: We consider a sequence $(x{i}_n{)}_{nge1}$ of $i.i.d.$ random values living in the domain of attraction of an extreme value distribution. For such sequence, there exists $(a_n)$ and $(b_n)$, with $a_n>0$ and $b_{n}inER$ for every $nge1$, such that the sequence $(X_n)$ defined by $X_n=(max(x{i}_1,\mathrm{...},x{i}_n)-b_n)/a_n$ converges in distribution to a non degenerated distribution. In this paper, we show that $(X_n)$ can be viewed as an Euler scheme with decreasing step of an ergodic Markov process solution to a SDE with jumps and we derive a functional limit theorem for the sequence $(X_n)$ from some methods used in the long time numerical approximation of ergodic SDE's.

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Cited in

(1)

• Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit

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