Weak convergence of recursions

DOI10.1016/S0304-4149(97)00018-5MaRDI QIDQ1382553zbMATH OpenOpenAlexFDO

Authors Gopal K. Basak, Inchi Hu, Ching-Zong Wei

Publication date 29 March 1998

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

Full work available at URL https://doi.org/10.1016/s0304-4149(97)00018-5

zbMATH Keywords

diffusioninvariant measuremartingalestochastic differential equationweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60)

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Cites work

• A class of limit theorems for singular diffusions
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Cited in

(18)

• Stability of annealing schemes and related processes
• Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion
• Weak convergence of dynamical systems in two timescales
• Recursive computation of invariant distributions of Feller processes
• Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications
• Central limit theorems for a class of irreducible multicolor urn models
• Rough path recursions and diffusion approximations
• scientific article; zbMATH DE number 3852251 (Why is no real title available?)
• scientific article; zbMATH DE number 3905695 (Why is no real title available?)
• Sur quelques algorithmes récursifs pour les probabilités numériques
• Limit laws for a stochastic process and random recursion arising in probabilistic modelling
• Stochastic approximation algorithms: overview and recent trends.
• Curvature, concentration and error estimates for Markov chain Monte Carlo
• Discretization of the ergodic functional central limit theorem
• Recursive computation of the invariant distribution of a diffusion
• A connection between extreme value theory and long time approximation of SDEs
• Central and functional central limit theorems for a class of urn models
• Asymptotic normality of the recursive M-estimators of the scale parameters

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