Approximation of the invariant distribution for a class of ergodic jump diffusions

Autor: Igor Honoré, Dasha Loukianova, Arnaud Gloter

Publikováno v: ESAIM: Probability and Statistics
ESAIM: Probability and Statistics, EDP Sciences, 2020, 24, pp.883-913. ⟨10.1051/ps/2020023⟩
ESAIM: Probability and Statistics, 2020, 24, pp.883-913. ⟨10.1051/ps/2020023⟩

In this article, we approximate the invariant distributionνof an ergodic Jump Diffusion driven by the sum of a Brownian motion and a Compound Poisson process with sub-Gaussian jumps. We first construct an Euler discretization scheme with decreasing

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::29f0332f9c3188676c8c611154d46dba
https://doi.org/10.1051/ps/2020023

Non-Asymptotic Gaussian Estimates for the Recursive Approximation of the Invariant Measure of a Diffusion

Autor: Honoré, Igor, Menozzi, Stephane, Pagès, Gilles

Publikováno v: Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institut Henri Poincaré (IHP), 2020, pp.1559-1605
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2020, 3, pp.1559-1605

International audience; We obtain non-asymptotic Gaussian concentration bounds for the difference between the invariant measure ν of an ergodic Brownian diffusion process and the empirical distribution of an approximating scheme with decreasing time

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::624d63d459f4b6e3c7cf7fe505728ae2
https://hal.archives-ouvertes.fr/hal-01321645

Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.