Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation

DOI10.1214/13-AIHP591zbMath1329.60281arXiv1302.1651MaRDI QIDQ902882

Gilles Pagès, Vincent Lemaire, Fabien Panloup

Publication date: 4 January 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.1651

zbMATH Keywords

invariant measure; central limit theorem; gradient system; Richardson-Romberg extrapolation; confluence; Lyapunov exponent; hypoellipticity; Euler scheme; optimal transport; asymptotic flatness; ergodic diffusion; Brownian path

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G10: Stationary stochastic processes

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

49Q20: Variational problems in a geometric measure-theoretic setting

60J60: Diffusion processes

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Constructing Sampling Schemes via Coupling: Markov Semigroups and Optimal Transport, Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation, Weighted multilevel Langevin simulation of invariant measures, Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion, Synchronization by noise

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